MIDI organizes presets in banks of 128 presets (0-127). The Axe-Fx also does that under the hood but you don't see it: presets are numbered consecutively.
To access an Axe-Fx preset from another device requires that you enter a three-fields-number, as Tom has explained. In Set List Maker you do that by creating a MIDI Preset and entering the data there.
Let's say you want to switch to preset 130 on the Axe. This means that the preset is in the 2nd bank, which is Bank 1 (MIDI always starts at 0). So you have to let SLM know that you want a preset in Bank 1, and it's the 3rd one (128 > 129 > 130). In MIDI that's Program Change 2.
Another difficulty is that there are two ways to specify bank numbers: LSB and MSB. It suffices to say that you need MSB here to send presets.
So in each MIDI preset you enter zero in the MSB field (single digit), you enter the bank number in the LSB field (single digit), and then enter the Program Change number (without preceding zeros) in the third field.
If you want it the other way around: making SLM respond to preset switching on the Axe, then use the MSB field instead of the LSB field in the Song details.
Make sure that SLM uses the same MIDI channel as the Axe.