very simply, first, you'll need to know some data from the arrival runway such as the CRS, the ILS Frequency and the GS Capture Altitude.

Normally, you must enter the ILS Freq and the CRS on the Pedestal. In FSX, it is good but on the FS9 version, you must enter that on the left and right panel (next to the MCP).

now; when you are at the good altitude and speed, intercept the ILS/GS by pressing APP on the MCP...

and the bird will capture both ILS and GS.

:)