Do NOT insert synths in audio FX bins. Here is the tutorial on how to play and record softsynths http://www.cakewalk.com/D...;help=Tutorial4.1.html
 
Insert a soft synth by either

• Insert > Soft Synth > {follow the rest of the menu to select a synth} from the main menu or
• Drag and instrument from the browser Plugins Instrument tab or
• Click the + at the top of the browser Synth tab and follow the rest of the menu to select a synth

 
This should display the "Insert Soft Synth Options" dialog. Select either

• Simple Instrument Track or
• MIDI Source and First Synth Audio Ouput

 
Then set your controller and the instrument or MIDI track input, enable input echo, load a program in the synth (if necessary) and play.
 
 
WRT, the FX Rack, the information in the track header is controlled by a dropdown above the track headers to the right of the time display just below the Track view menus. Set the dropdown to all if you want to see complete track headers.
 

AAARRRRGGGGGHHHHH!
Done all that... result: complete silence. Although my Tyros is checked in Preferences - MIDI - Devices - Inputs, it is not showing as an option in any other input selectors. 
Seems like each time I get something new working, something old decides to go wrong!
For whatever reason, this is clearly not going to work. 
So, a genuine thanks to those of you who have been so kind and made suggestions. I am sure your advice was all spot-on. I, unfortunately, am not.
Mark

Let me try....
 
1) make sure the sampling rate is set the SAME between Sonar and your interface.  Are they the same?
2)  make sure in SONAR'S PREFERENCES, your MIDI CONTROLLER is chosen under DEVICES - INPUTS and your interface is chosen under OUTPUTS.  If your MIDI controller isn't chosen, under INPUTS, you won't hear anything.  That's the device that's feeding into Sonar. 
3)  are there any settings on the keyboard/MIDI controller that have to be set to use in a program such as Sonar?  For example, maybe there's a "mode" button or something that you have to click?  That's an actual synth with actual sounds on board, right?  But, it can be used as a controller, too?  Maybe you have to go into a different mode? 
4)  Have you tried a different USB port?  Sounds dumb, but I had a very frustrating problem with my interface a few weeks ago, almost threw my entire setup out the window!  Cakewalk tech guy suggested trying a different USB port.... it worked!  Couldn't believe it!