IFR flying takes some practice and knowledge of instrument navigation to be able to accomplish.
To keep it brief for purposes of FSX, tune the VOR freq to the ILS frequency of the approach to the runway you want, each airport with an ILS will ahve a different frequencey for each approach. Next, make sure your CDI is on VOR (if using an airplane with a GPS). Turn the CDI to the approach course shown on the approach plate. (put the number at the top under the small line) Make sure your heading and approach course are the same (might be a small diffeence if using wind, which would be the wind correction angle). If you move right or left of this course, the needle will show which direction your are from the course, so turn towards the needle. The horiziontal bar is the glideslope that shows how far above or below you are,at a 3 degree angle to the runway, and like the localizer, the trick is to slow the aircraft to approach speed, and try and keep these both centered all the way to the missed approach point, in which case if you have the runway in sight, proceed to a landing. like the localizer, fly towards the needle.
Note, as you get closer to the runway, the sensitivy increases, so make very small corrections to try and keep it centered.
To do this on the Autopilot, same thing, just after tuning and turning, select App mode on the auto pilot, it will automatically intercept and capture the ILS and try and hold the glideslope. Depending on the aircraft, you may still have to adjust the throttles to obtain approach speed.
Flying a real ILS is much more involved, but for the purpose of FSX, have fun...
Not sure on FSX where to get the approach plates or frequencies.. sorry. But you can try pulling them off AirNav.com for a particular airport. The game should be pretty close the actual approach at that airport...