After you've installed FMOD Studio, you're going to want to get the Cave Story FMOD Project File.
You can find it here
!
Download it, and move it to its own folder.
Once you have the zip file, extract it to that folder!
Once you do that, you should have a .fspro file (That's the project!), as well as some other folders.
Delete the zip file first as you no longer need it, then
Open the project file in FMOD Studio, and then you're ready to actually start using it!