When you add a Syphon source, you select from a list of Syphon servers that are currently running on your computer. For example, you could run the
Simple Syphon Server, a sample program that provides a Syphon server, and that will appear as a selectable source in the Syphon source properties.
Many programs that use OpenGL to show graphics to the screen don't provide a Syphon server, but you can attempt to inject Syphon support into a program with SyphonInject. There are 2 ways to do this in OBS: 1) Press the Launch SyphonInject button, select a program in SyphonInject, press "Inject", and then select the [Injected] source in OBS, or 2) Check the "Inject" checkbox in OBS, select the program from the dropdown, and then select the [Injected] program in the sources dropdown. Note that SyphonInject isn't perfect, and not all programs will be injectable. For example, Minecraft seems to have trouble being injected with SyphonInject.
Hopefully that gives you something to work off of.