Does your guitar pedal connect to your computer via USB? If it doesn't it's not a sound card and you will be using your computer's onboard Audio device. How do you get sound from your guitar into you computer?

To insert a softsynth, there are a few ways.
Go to the main menus at the top of the screen and look for Insert>SoftSynth> EZDrummer2.

A box will appear, make sure that at least of MIDI and First two Tracks are selected

From your screen grabs it appears that it's installed properly so I f EzDrummer is really available it should open.

My pedal connects to my computer via USB. It gets the sounds from the pedal. Unfortunately, I don't know what's wrong. I can not see EZDrummer in the place you told me. 
 
It doesn't shows the EZDrummer plug in (notice how the track one and the track two midi are selected): 
http://s1289.photobucket.com/user/eduardo0796/media/location4_zpskvk6rl1h.jpg.html
 
EZDrummer works when I open it, by itself with no other program: 
http://s1289.photobucket.com/user/eduardo0796/media/location5_zpsptsxbbw1.jpg.html
 
I really don't know what's wrong or what to do! I have installed it and uninstalled it many times, I even installed it in the Cakewalk folder if I am not mistaken. 

I noticed in your earlier screen grabs that the EzDrummer dll was in the drop zone folder. Close Sonar.
Go to Windows explorer and just cut and paste that file into the Cakewalk/VSTPlugins folder. It's currently in Cakewalk/VSTPlugins/Dropzone/ezdrummer2.dll
Then when Sonar reopens it will scan the plugins and hopefully when you follow my earlier procedure it will work

Actually, it is in the vstplugins folder. Here's the screenshot I took earlier:
 
http://s1289.photobucket.com/user/eduardo0796/media/location3_zps3ew3ft5z.jpg.html
 
Or is there another thing you mean? 
 
I also have one question. I am really new here so I am sorry if this is wrong, but is there a way I can contact you or another member to help me in real time? (For example, skype and such...) I am kind of desperate to record my songs and all with drums on it but I can't! 
 
If you can, my Skype is: eduardo0796. If the problem is solved, I will post the solution here to any other who is having the same problem as myself.
 
Thanks.

That's what I mean.
In the plugin manager you have the
Cakewalk/VSTPlugins
Cakewalk/Vstplugins/Dropzone
you can remove the second scan path in the plugin manager as the VST Scanner will go down through any folder in VSTPlugins looking for *.dll files

When you open Plugin Manager I only see Dropzone in the centre window
In the left column select DXi and see what is in the centre console
In the left column select VSTi and see what is in the centre column

Now very important. I notice you are on Windows x64
1. Are you using Sonar x64 or x86 (32bit)
2. have you installed the 32 bit version of EzDrummer or the 64 bit
If it's the 64 bit version you need to scan Program Files/Cakewalk/VSTPlugins You select that in PluginManager>Options and use Add to create a new path for sonar to scan.

I am not able to contact you via Skype.

I've reexamine do your pictures and it seems they answer my questions anyway.

PSYNII and Dropzone are both synths that come with Sonar LE. I'm going to try and make some more enquires with Cakewalk but I suspect that you can't add synths to Sonar LE because it is a lite edition program.

Here's what I get in the VSTi column:
 
http://s1289.photobucket.com/user/eduardo0796/media/Untitled1_zpsly9boima.jpg.html
 
Here's what I get in the DX column:
 
http://s1289.photobucket.com/user/eduardo0796/media/Untitled2_zpshvzysohg.jpg.html?sort=3&o=0
 
So you mean I can not add new soft synths because the program is not able to? Then why does it gives me the option to add new stuff? Should I get a new  recording software?
 
I know this is a Cakewalk forum but I downloaded Cubase (as you can see in my screenshots) and today I tried to paste the ezdrummer.dll on the VSTplugins folder of Cubase and it did not appear either in this software. I think there's something wrong with my PC or with my EZDrummer. I'm thinking on just giving up...
 
Thanks a lot.