I am using gseGO this way:

gse <- gseGO(geneList=gene_list, 
         ont ="ALL", 
         minGSSize = 3, 
         maxGSSize = 800, 
         pvalueCutoff = 0.05, 
         verbose = TRUE, 
         OrgDb = org.Hs.eg.db, 
         pAdjustMethod = "fdr")

Let's say I want to analyze against a molecular signature on https://www.gsea-msigdb.org/gsea/msigdb/index.jsp. How can I pass this to gseGO? I have tried downloading one of them, reading the read.gmt file and passing as OrgDb.

And if I would like to analyze the Glycolysis in particular how would I do?

This is covered in the vignette.