Getting this error message with the initial sound setup

If the only sound card you have is onboard then you will need to choose MME as your drive mode in Sonar (options/audio/advanced). Then choose "Use Anyway" when you get this message. Drag an audio file in Sonar and see if you get sound. The message in the screen shot can mean several things, your sound card does not support the sample rate of you poject, or windows is sharing the driver of your sound card. If sample rate is the problem set your sample rate to 44 under options/audio/general. If it's because of windows sharing drivers, just choose use anyways.
 
What are you trying to record, miking and instrument or playing soft synths? If using a mic, then you need to choose the inputs and outputs for the track. Do some of the tutorials in the help file (F1). If you are trying to use soft synths do the soft synth tutorial in help. However, with onboard sound card and MME you will get lots of latency if trying to play soft synths using a midi controller. The only way to avoid latency when playing soft synths with midi controllers is to get a sound card designed for this purpose such as RME, Edirol, Cakewalks etc which use ASIO or WDM as driver mode. It's worth getting one since you can probably get a decent one cheaper then what you paid for Sonar.