Audacity.
 
Using Audacity's Generators
http://manual.audacitytea...nerate_menu.html#noise

Cool Edit or Cool Edit Pro  (a la Adobe Audition)  also generates test signals.  Including non symmetrical waveforms for testing phase or whether any gear is inverting the signal or not.  This is a real eye opener.  You need a CRO though to able to see what is going on.
 
You can look around on line too and find accurate test signals.  Just be very aware of what ref levels they are at though.  You can add or subtract gain to them once you know exactly what they are at.
 
Studio One has a test tone generator (and a scope too) built in and can generate all manner of frequencies and noise at any level.  This should be mandatory in my opinion.  Incredibly helpful for trouble shooting and also lining up or calibrating your system. 
 
Pink noise at very precise (rms) levels is harder to generate than you think.  The Bob Katz website has very accurate pink noise ref levels. (-20 rms) But you have to register now to get in but well worth it.  The pink noise test signal in my link above is also very precise.  It is also important too that if you want band limited pink noise (e.g. pink noise between 500Hz and 2KHz only) you have to get this very accurately re-adjusted back to the ref level.
 
Test signals as mp3 files are NOT the go either.  Wave files are a minimum requirement at least at 44.1K 16 bit etc..
 
Mono and stereo test signals can also cause confusion.  It is best to play mono test signals on mono tracks and stereo on stereo tracks.  Errors can creep in if you don't do this.  Stereo test signals are often better because they avoid pan law settings. 

Hmmmm...I don't know that I'm actually using my "pink noise" for "calibration".  Matter of fact, I set it at different volumes pretty much every time.  
 
I just use it on each music track to set a rough relative "initial volume". I solo the pink noise track and then go through the music tracks--drums, then bass, then other instruments--so that I can just barely hear them coming through.  Just to get things started.  Learned this on some SONAR mixing video I saw over at Groove3.
 
Am I doing this wrong?

Yes you are. The pink noise rms level that you have downloaded might be real loud for example and your tracks are probably OK but you are hearing the pink noise way louder.  As per my original post, what rms level is the pink noise at that you have downloaded.  They probably have not mentioned it.  So you have no idea what you are comparing your tracks to.
 
Another thing too I forgot to mention. Pink noise at a ref level e.g. -20 also sounds quite a bit louder than music that is also at -20 db rms.  That can be deceiving. 
 
OK Jerry I have just got it.  The Sonar video was about using pink noise in the background while you are mixing. This is good thing to do and it is used so that low level tracks don't get lost in the mix.  I am sorry for going on about calibration. You are wanting the pink noise for this reason not calibration.  If a track is too low it will not be heard easily under the noise so you will tend to bring it up. Be careful at what level you set the noise though.  If its too loud then you will turning everything up!
 
OK no worries just set the pink noise level right down now so that it sort of matches the overall mix level and drop it down a little under that too.  (It does not matter now what ref level the pink noise is at too because you are setting its level manually) Just turn the track volume down to where you need it. The idea is to get the pink noise just sitting softly under the whole mix. You do that manually yourself.  I would try white noise too in this situation.
 
Don't forget to turn it off before you render out a final mix!
 
You can get a similar effect by setting your monitors down lower as well.  Some engineers like fans or heaters etc on in the studio as well to add in this extra background noise. 

Got it.  Thanks for the reaffirmation, Jeff! ;-)