Selecting Instrucment

Press 'I' to add an Instrument;
Open the Mixer (F10) to change the sound.
Welcome.

For us to be sure, attach your score. You probably started your score with a treble clef, which defaults to the piano sound and does not transpose so your notes will be wrong when you play back.

To fix what you currently have, right click the staff, select staff properties and click the "Change Instruments" button on the left in the middle. You can then select the Alto Sax. After you click OK a couple of times to accept the changes, if the key signature does not change, then you need to press the "Concert Pitch" button at the top so you can see the notes the sax will play.

In the future, when you create a new score, use the first template in the list which says "Select Instruments." Select your alto sax (or any other instruments you want) and then the instrument will be properly transposed and sound like the correct instrument.

If I'm wrong, attach your score so someone can help you properly.