yes to add what steve said (which he has said it very nicely)
you record a track in sonar (use your keyboard) it will either trigger a soft synth, or sounds of your keyboard and it will show up in the prv. however, bare in mind you want to be recording midi to make it possible to edit notes in the piano roll view. I mean you can do both, but only midi is shown in the piano roll, well controller data to.. but lets not get to far ahead of ourselves here.
take it one step at a time. remember these:
- use your keyboard as a midi triggering devise.
- your keyboard will trigger a soft synth in sonar.
- your not really editing notes in prv (well you are) but they are simply data messages.
this is one of the hardest things to explain to new engineers using DAW software. the process in which a midi keyboard works with in the software. so hang tight and most of all, experiment.