Recording a keyboard

I connected my keyboard to my computer with a usb cord and I'm trying to record a track but I can't hear what I'm playing through the headphones while I'm playing. I'm inserting a midi track, on the input drop down menu I select the driver that downloaded when I plugged in the keyboard with the usb cord, and selected the AI driver on the output drop down menu. What am I missing here?

It sounds like you may have no audio interface yet for your system, and are hoping that you can transmit the audio output from your keyboard into the computer through the USB cable.
 
IF the above is correct, it doesn't really work like that.
 
Usually, keyboards will have either a single stereo 1/4" audio output jack, or 2 mono 1/4" audio output jacks (for left and right), and to capture the audio output from your keyboard you would need a way to connect from the audio outputs of the keyboard into the computer, so that Sonar can record that signal.
 
Normally, this is done in Sonar with a dedicated audio interface.  Some folks use the on-board sound chip of their computer, but this generally sounds like crap, and is really not generally a good choice.  The reason using the on-board sound card is not a good idea, is that when you use a program like Sonar, it will be doing MASSIVE conversions of analog signal into digital data (to record), and also MASSIVE conversions of the digital data back into analog signal (for playback).  Without a dedicated audio interface, your computer's CPU has to do all of that conversion of data, and since your CPU has to do everything else in your computer, it results in things like crackles, pops, noise, and dropouts in the audio.  It's just too much work for the CPU to have to do.
 
As I indicated, a dedicated audio interface is a standard part of the computer recording process.  It will give you some number of inputs and outputs, and will also handle the conversion of analog signal into/from digital data, which frees up that work from having to be done by your CPU.  This results in much smoother audio, without the noise and dropouts you would have gotten by using on-board sound instead of an audio interface.  Additionally, most audio interfaces come with microphone pre-amps and phantom power (phantom power is used to power some microphones).
 
A basic, but decent audio interface with a couple of inputs and outputs, with mic preamps and phantom power will start at around $150, and if you want/need additional inputs and outputs or other features, the cost can go up to $500 or even higher.  It really depends on your needs - if you are going to need to record each drum and cymbal of a whole drum set, you will need lots of micrphone inputs.  If it is just you recording one instrument or vocal at a time, then you will only need a couple of inputs and outputs.
 
Basically, you would connect your keyboard's audio outputs to inputs on the audio interface, and the audio interface would be connected to the computer, via a USB cable, or perhaps a FireWire connector, and the audio interface would have software 'drivers' that would be installed into Windows.
 
You would configure Sonar, in the Preferences section, to use your audio interface, and then in a project you would have audio tracks assigned to pick up the signal from the ports from your audio interface that you plugged your keyboard's audio outputs to.
 
Then, when you arm those audio tracks for Record, and begin the Recording process in Sonar, anything you played on your keyboard would be capture as recorded audio on the audio tracks.  After finishing recording, you could hit Play, and you would hear that audio playing back through Sonar.
 
If you wanted to record MIDI events that were generated by your keyboard, you would insert a MIDI track into the project, and assign the OUTPUT of the midi track to your keyboard's midi port.
 
You would then set your keyboard to something called 'Local Off', which would tell your keyboard NOT to play a sound when you pressed a key.  That may seem silly, but what happens if you don't do that is that you will get a 'doubling' of every note you played.  This is because you already have Sonar transmitting the midi data as you play, back through your keyboard's midi port, so that will tell your keyboard to play a sound.  You NEED it to do this, because when you playback the recorded midi data, you want your keyboard to respond to that data and play sounds accordingly.  SO, with that already taking place, your keyboard will - by default - ALSO respond to your pressing keys, so that every note you play on the keyboard would result in 2 notes being triggered.  This sounds goofy, and is NOT what you want.
 
This is precisely what turning 'Local Off' fixes.  It literally disconnects the keys of the keyboard from responding to being pressed.  You will still hear notes playing however, since Sonar is still responding to those midi note events and sends them back to your keyboard, which will then trigger the appropriate sound.
 
OK, so with everything connected and routed properly, you will be able to record midi data from your keyboard, and you will be able to play that back and hear it, as well.
 
There are tutorials in Sonar, and zillions of them on the web as videos, and there is also a bunch of helpful folks here in the forum, and ALL of these will help you get up to speed.  There are also books and videos you can purchase, that will help you too.
 
Good luck with it all, 
 
Bob Bone