The record button or pressing "R" on keypad will do nothing unless you followed the steps to make it happen. Sonar is not software that can be used immediately like Audacity.
You should take the time , which might be a few days to read and do the tutorials.
The steps required to record anaudio track are
First make sure you have installed the latest ASIO drivers for your interface.
Check in preferances that all your settings are as you wish and that the Audiobox is the timing master and the inputs and outputs show in that tab under audio settings.
Insert an audio track
Set it's input to match were you have plugged in the mike
press the record icon of the track.
The meter should show level activity now.
Now when you hit record it will work.