I agree with previous post, it will always be better with a proper soundcard.
BUT I manage to work with my laptop internal one (which shouldn't be very different from your's) and ASIO4ALL without problems(at least not enough problems to make it unusable). 
So here are few possibilities:
* To disable unused soundcards, 3 ways (first is better)
-> get to Windows Device Managers (control panel) and disable unused soundcards (hammer)
-> try using ASIO4ALL control panel (try rebooting eventually)
-> In sonar prefs - Peripherals : just check the one you'll be using   (scalpel)
    In sonar pref : disable drivers sharing  and disable the "Open all peripherals/Devices" (I'm french so I don't know the proper english words for the sections. It's the one with ASIO/WDM selection).
By disabling sharing you'll disable the chances to get configuration changes from the system when system sound occurs.
I have disabled "Open all peripherals" and it works.(consistant with the idea to restrict used soundcards)
With only one available soundcard, the timing master should be automatically set to the one you have.
 
Then check your outputs and master are properly directed to the soundcard.
Also check your speakers are connected  to the proper output and your device driver is not disabling the output.I have seen "Rear" output be disabled because of headphones detection.
 
By the way, using the internal soundcard, you may get too much latency to use your MIDI keyboard to play without delay. A proper soundcard will enable you to get low latency and diminish it drastically. Concerning the focusrite, the saffire 6 is a good one but it's an old card (USB1).It's limited to 48k max. The new Scarlett serie is USB2 so you should get better long term support, better sample rate and maybe less latency (for MIDI soft synths, it should be better). Neverteless both are very good and cheap soundcard (preamps are very good on both and don't sound cheap)
 

CoffeeTime - Glad you got it figured out!  Gratz on the new gear.
 
Usually the Sonar forums are very helpful, but just understand you will always get comments from people who didn't read your question, or understand what your problem is, or how to help you.  As you figured out, a dedicated sound card is going to work much better than an internal card, but you CAN listen to and playback audio from your internal card with the correct settings (and synth outputs for midi hehheh).  You will be more limited for sure, but it can and does happen.
 
Some of the "get a soundcard or it wont work" comments are probably meant with the best intentions, but they are neither true, nor helpful.  Always take forum advice with a grain of salt.