You don't need any special hardware to use SONAR. Your computer's built-in sound should work fine. Most people end up buying outboard audio interfaces for the extra features and better sound quality they offer, but it's not necessary.
You have to go into Preferences (press "P"), Audio -> Devices and point SONAR to your computer's onboard sound device. If you still don't have sound, go down to the Playback and Recording section and choose a different driver mode. Try WDM/KS first. If that doesn't work, use MME, which should always work.
35mm makes a point, though. I'm not sure you can even buy SONAR at this time.
All else is in doubt, so this is the truth I cling to.
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