I just purchased an M-Audio Keystation 49es MIDI controller and cannot get it to work on Sonar Professional. Please help

The first step is to verify that it is sending the Midi into Sonar.
 
Open Preferences (P) and click the box next to the midi device (if it isn't in the list you have a higher level problem).
 
Next add a midi track, set the input echo on and play your device. Does the level bounce?

It is on the list and I selected it and nothing. Now...there are two different options in preferences in the inputs. One says Keystation 49es the other says MIDIIN2 (Keystation 49es)

as Gswitz stated, make sure you have it selected in midi devices (in preferences)
then insert a soft synth, under the input section, select your device.
 
did you install any drivers ? My M audio Oxygen uses drivers from Avid.
(its a USB controller) maybe yours is plug and play, I don't know.
 
Watch the video at 25 seconds on...