Open the event list for the track with the sysex.

Copy the sysex message.
Then you can paste it into notepad and save it, so you can paste it into any song. (Use notepad or another simple text editor)
Paste the sysex text in the Event list window using 'Insert - Sysex' and paste it in at the beginning of the song.
You don't have to use send or request, just insert it and hit OK and then it will be broadcast every time the song plays from the beginning.
PTPA added this feature back around ver 5.

As Mac said it is likely a GM On message and can be sent in many ways.
It probably looks like a hexadecimal number - F0 7E 7F 09 01 F7 (GM Mode On)
or F0 41 10 42 12 40 00 7F 00 41 F7 (GS Mode On)

I do not work here, but the benefits are still awesome
Make your sound your own!