Hi there
I think you're getting a little confused here. SONAR doesn't actually 'open' .wav files as such, it is designed to open, for example - Cakewalk project (.cwp) and bundle (.cwb) files, among others.
To 'open' a .wav file, you'll first have to open SONAR and then use File>Import>Audio. Then, to create your mp3, use the File>Export>Audio dialogue.
Although this will work, it's a rather convoluted process, and I'm guessing that most of us would actually use a 3rd party mp3 encoder to convert .wav files on our hard drive; I'd imagine that the mp3 encoder incorporated inside SONAR is really there to export project
mixes if they are required in that format.
I use the excellent, and free,
CDex software to convert .wav fies to mp3, although there are other good free ones available.