If you make no changes at all when you launch Counterpointer, your sound output will be set to the built-in music synthesizer found on your computer. On Windows computers that will be the "Microsoft GS Wavetable Synth." On Macintosh computers it will be the "DLS Synth" provided with Apple's CoreAudio. The DLS Synth is the more modern one and even offers microtonal tuning, so that you can experiment with temperaments and tunings (see the Options menu for that). Both have the full set of 128 instrument sounds normally found in "MIDI" instruments.
"MIDI" means "Musical Instrument Digital Interface." If you would like to connect a MIDI keyboard for input and/or output you can cable it to your computer and then click one or both of the MIDI buttons at the right side of the screen piano. The inward-pointing one turns "MIDI in" on or off. The outward-pointing one does the same for MIDI out. If MIDI out is turned "on" then all output will be directed to your MIDI device instead of to the internal synthesizer in the computer. Here's what those controls look like when "on:"
Whether using built-in sound or MIDI, you can change the instrument for any staff by clicking the instrument name