Set your HSI to the runway he gives you (e.g., runway 09 is going to be at roughly 90 degrees) and then turn to the heading he gives you. When the deviation indicator on your HSI centers up, turn to the runway heading and you should be on the glide path, generally 10-15 miles from the runway.
EDIT:
You need to have ILS selected on the NMSP as well. It's the set of buttons just under the HSI.