Audio Unit/VST plugins became supported for use in Finale from version 2006 on. Using Virtual Drumline within a plug-in (VST or AU) version of Kontakt Player provides the most seamless, integrated way to access your VDL sounds within Finale.
If you use an older version of Finale, you can still use VDL, however you'd run Kontakt Player in stand-alone mode (by launching the Kontakt Player application), then routing Finale's MIDI-Out to Kontakt Player's MIDI-In by using virtual MIDI cable routing software.