In Arena, you would go to the Engines->Manage menu. There is a tab at the top of the configuration screen for Winboard, which has the common settings for all Winboard engines. Max. memory is where you would set the hash memory amount in megabytes, and Paths to Tablebases -> Others is where you would put the syzygy path.
In the latest version of Winboard, version 4.9.1, you would go to the Engine -> Common Settings menu. There you can set the hash size, and the path to the syzygy tablebases. You need to prefix the syzygy path with syzygy:, for example:
would set the syzygy path to C:\chess\syzygy. You can also specify other tablebase formats as follows:
would set the syzygy path to C:\chess\syzygy
the nalimov path to C:\chess\nalimov
and the scorpio bitbases path to C:\chess\egbb
In older versions of Winboard, these options are in the Options -> Common Engine menu.
As a new user to this forum, (but a long time user on TalkChess who has configured thousands of engines), I can't post download links to Winboard 4.9.1, but those can easily be found with Google.
These are the only two GUIs I have installed at the moment. If you use a different GUI, let me know and I can try help with that.