Im having big trouble in playing my midi keyboard.
When i hit a key on the keyboard, the sound from it has a huge delay into the program.
I cant find how to adjust it. Anybody knows what to do?

Decrease the audio interface buffer size and bypass the effects in the project.

Certain effects can cause a midi delay in projects. Example the LP 64 multi band. They use a "look ahead"  buffer that holds the playback longer causing the delay from the output.
 
Other housekeeping tips
Increase the midi buffer from the default to something higher than 500. I use 1000.
Turn off the internet while tracking, especially if it's wireless.
This distracts your CPU from focusing on Sonars demands.
I had a huge delay the other day and was wondering why until I found out I'd forgotten to disable the LAN connection and Windows was busy updating while I was trying to get work done.

Click on the "ByPass FX" button in the control bar. Does the delay go away? Then it is plugin latency. Enable FX plugins one by one until you find the one responsible.