HI I'm new here so I hope this will post where I need it to go. I'm currently using SONAR 4 STUDIO EDITION and I know a few things the only thing I really need help with is figuring out how TO GET THE PROGRAM TO RECORD SO THAT I CAN HEAR MYSELF WHILE RECORDING IN THE HEADPHONES. I mean isn't this possible?? IF ANYONE COULD PLEASSSEEE HELP ME I WOULD GREATLY APPRECIATE IT it's wrecking my brains now. Thank You for taking the time to read this and if you can help me please let me know

Just so we can point you in the right direction, it would be useful to know what audio interface you are using.
 
 

As the furry guy said, more info on your system would be helpful.
 
On the outside chance that it's something really simple, try clicking the icon as shown here

 

Right. An audio interface designed for recording is recommended if you're recording lots of audio. And since I see that your occupation is Singer, you will be recording a lot of audio.
The button referenced above is the Input Echo button, which allows you to hear what's being input, hence the name.
Without a capable audio interface, there will be a delay, called Latency, between you singing and when you hear what you just sang.