How to get back into PLAY mode

  I know this will sound all confusing, but I AM confused as I am brand new to the keyboard world after playing an acoustic piano for years. I apologize for the jumble below. I have a Roland A-500S with SONAR X1 LE. On the keyboard, When I go to UTIL mode to change a setting for velocity, and hit enter. (how can I verify the setting is what I want?) Then I want to go back to PLAY mode. I press the MIDI CH and PGM CHANGE down (and it goes back into UTIL mode!). And later, I assume it is in PLAY mode (there doesn't seem to be an indicator of which mode it is in). I try to play a note on the keyboard, and there is no sound. (I have the SONAR setup to play the keyboard like a piano... instant sound as I press each key, thanks to the forum...) Also if I press some strange keys by accident in UTIL mode, I can never get rid of these accidental numbers showing in the keyboard display. I don't know where I am in the keyboard setup... how do I get back to 'normal' play mode? Very frustrated here, due to total ignorance!