Software sampler instruments come in many different flavours and formats. The "SF2" file extension represents a Soundfont file -- a file format created by Emu Systems in the early 1990s and most commonly associated with products designed by Creative Labs. The "NKI" extension is a file format Native Instruments uses to denote sampler instrument files compatible with the Native Instruments Kontakt software sampler. Getting your Soundfont files into NKI format is as simple as taking advantage of Kontakt's native Soundfont-import capability.
Navigate in Kontakt's upper container pane browser and highlight the desired Soundfont file to display the list of Soundfont presets this file contains. The list of presets will appear in the lower pane; the Kontakt objects pane.
Double-click on the Soundfont preset you wish to convert, or drag and drop it from the objects pane to the Kontakt instrument rack.
Save the file from within Kontakt to give the file an ".nki" extension and convert it from Soundfont to Kontakt format.
Sampler instrument conversion is still an imperfect science -- your imported instrument may not sound exactly as it did originally. Familiarise yourself with Kontakt's potent programming capabilities to make instrument tweaking more intuitive.