Trial verssion Producer...ok where is Session Drummer and why cant I easily connect MIDI

From what I can see in the documentation, the demo does not include Session Drummer.
As for getting sound out, you need to do some basic setup, just as you would have with Cubase.
Have you selected your I/O options in the Preferences menu?
Can you describe your complete signal path where you tried to connect the MIDI file to the VST?
If you have even elementary experience with a contemporary DAW, setting up a proper signal path should be somewhat intuitive. But it's not plug-and-play, and the differences between Sonar and Cubase may have thrown you a curve ball.
If you are willing to try, we are willing to help.

 Unfortunate as it may be, there are no serious music making apps that are plug and play. You need to do some homework.

Connecting a VST drum set to your onboard soundcard...With all due respect, I don't understand what that might mean. What drum set? Are you talking about GS Wavetable synth or what?
Are you familiar to using soft synths in general? I assume the demo includes normal help files. If so, there's a tutorial about soft synths.

Have patience, it's worth it. You need to take the same steps with any sequencer, because in that respect they are all the same.