Don't give up. I suspect this is just some midi configuration issue. I'm not very versed in that, but certain options will prevent the output of a synth from being recorded. I just had trouble myself, because I used to have a controller connected to this laptop.
Add EZD2 to a blank project as davehorch did, but check Midi Source and First Synth Audio Output.
Sonar will create two tracks. One will have just the midi plug symbol, the other has the midi plug symbol over a keyboard.
On the track with just the midi plug symbol, check that the input is set to All Inputs - Midi Omni.
On the other track check that the input is set to EZ1 Stereo (the first stereo output of EZD2).
Drag a song block from EZD2 and drop it on the track with just the midi plug. Close EZD2. Press play. You should see the meters respond on both tracks and hear the playback.
Add an Audio Track. Set it's input to be EZ1 Stereo (the first stereo output of EZD2) Press play. You should see the meters on all three tracks respond and hear playback. If you also select the Waveform Preview button on the Audio Track you'll see the waveform, but of course it's temporary.
Arm the Audio Track. Press R. Audio should be recording on the Audio Track.
Let us know.