I don't understand midi and don't know why I can't get it to work

Welcome to the forum!
First of all - DM1Alesis HR-16 Drums????? What drum soft synth are you using or are you using HR-16 hardware?
Are you sure you have chosen that from the VST/soft synth section and not Instrument definition?
The "Instruments"-list you can find there is not for producing sound, they are presets for hardware connections.

OK, assuming there really is a HR-16 VSTi in X1 (I don't think there is) -  I've never used HR-16 or Sonar X1 LE, so I don't know their specific oddities, but in general MIDI-stuff goes:

Insert >soft synth (or if there is Synth Rack, open it and insert one)
A dialogue box appears -Talking about drums you may want to create all audio outputs instead of only the first one, but for testers, create only the first one. And DO NOT select Simple Instrument TRack, you can try that later, when you're in clear waters concerning MIDI.

Now you have MIDI track with the input you choose (=your keyboard) and with output to the soft synth you launched, and an audio track with input from the synth and output to Master Bus.

Drum soft synths usually operate so, that you can either drag MIDI-beats into the MIDI track (and edit them in Piano Roll if you like) or play with keyboard or insert with mouse your own stuff.

I don't know if LE includes any actual drum soft synth, though. If it includes TTS-1, you can use it. Drums are on channel 10.

the hr 16 is a drum map nothing more.
for instance,say you plug in a drum machine using a midi cable,well if its the alesis hr 16 then the pads on that drum machine will be in synch to the drum kits pieces....the kick pad=the kick drum,the snare pad=the snare piece on the drums in sonar(that little kit that shows the drums)
if not for these drum maps a kick pad on my drum machine might trigger a freakin bongo and not the kick drum on the virtual kit.
 
your real drum sounds come from your soft synths (cakewalk instruments.)
like kalle said,simply go to insert synth/when the synth properties open up just select .simple stereo track.

its alot of practice man.
alot of hours just playing around learning new things and hanging out reading posts about how these things work.
we have all been where you are and in some respects,we still are.
learning,more,everyday.theres always something new man.

may i suggest going to the cakewalk site and watching some sonar videos.
they are really helpful i learned alot from them and they are all geared toward x1 so you will be able to follow along and do some tutorials for yourself.

hang in there and enjoy yourself please.

remember,you can always come back here to ask questions.
kalle and greg love helping people out who want to learn.
i dont have the patients..lol

welcome to the forum.