VARI MIDI SOUNDS INTO SEQUENCES

I've just bought a Novation K-station but can't quite get my head round the whole midi ting... I've just recorded a sound from the keyboard to a track in the sequence on the mpc2k but when I change to a new sound on the novation it alters the track/sequence to the new sound. How do I get it to stick? Tried previous posts and as per usual the manual makes me want to hit the streets with a big gun.

you have to enter a midi event at the beginning of the track that sends te correct program change to your novation. That way playing back the sequence will automatically selec the correct instument on your novation.

That sounds all good but could you talk me through that! I really need a step by step on this as you may well have guessed I've nae experience in studio engineering etc.. Like I say I've checked the manual but 2 lines in and in all looks greek to me, your expertise would be well appreciated on this.