Ok, if you have Microblaze, you can design something without any instantiation, but if you want to add MB to your own logic, then you have to change the setting in your configuration to it creates VHDL entity for the MB, then you add this inside your ISE project.
The best way to do this is to start your ISE, then inside ISE project manager, choose add new and choose an EDK, then you start EDK from inside your ISE this way you can instantiate your EDK top level into your code.