This is how I have mine set up.

If you've got your soundfont in a subfolder of SRB2's directory, use a period to represent the path to SRB2's root.
What I mean is that if that's the case, try something like this:
.\soundfonts\mysoundfont.sf2
In my experience, just
\soundfonts\mysoundfont.sf2 does not work.