First you have to get them, either by random event or by historical prejudicate. (The second works like any other historical leader)
When you have one you take the army/navy they are leading and march/sail into unknown terriory with them. They'll take longer than usual to get there, but will ultimately arrive, making the province/seazone known to you.
Reaching high enough levels in land or naval tech obviates the need for explorers/conquistadors and allows you to explore with any unit.