Sometimes I miss those old days with my Commodore Amiga and Sonix...
 
Anyway, I have this Beatles tune I did. Got it all mixed up righteously in Sonar Plt. Exported it. Tossed the thing into Windows Media Player (WMP) and noticed one guitar and the vocals were too loud and the drums were too soft. So, thinking I must have zigged instead of zagged, I called it up in Sonar and played it. Sure enough, everything is nice and balanced. So I exported it again. Played this new mix in WMP again. Same problem. Some stuff too loud, drums too soft.
 
I also ran the mix through Sound Forge (ASIO), and it's nearly the same as WMP. I double-checked to make sure there was no EQ enhancement going on. Every box is checked in the Export dialog, BTW.

How did you export it? Did you export the entire project or did you export the master buss only? 

Make sure there's nothing in WMP affecting the sound - this piece of junk has been known to have awful EQ curves switched in by default.
 
Try playing your mix on as many systems as you can - mp3 player, car stereo (CD?), eventually you'll get a feel for what needs adjusting.
 
I also recommend you re-import your export into Sonar (same project) and listen to it there (bypassing your master buss and soloing it). If it sounds the same then it rules out Sonar as the cause.

Sounds like it might be a mono/stereo issue. Are you monitoring in stereo in Sonar? What is your bounce source?

Playing it in Sound Forge rules out the WMP issue 100%. 
++1 to what Sanderxpander said a mono mix will do what your describing and it's easy to have it happen if your interface has a GUI mixer or your signal path is not right.  
 
I would double check all export settings. I myself always use "select none" before exporting. 

Agreed on the export settings.  I ran into a similar issue recently when my bounced mix was super loud when played through Media Player and then realized that in addition to the master bus, I'd also exported two headphones buses on top of it.

+1 to Jonesy's comment on checking WMP settings. There are a lot of playback options which totally distort the audio.

Try this:
 
Export your full mix as a 32-bit undithered wave. Import this exported file back into SONAR as separate track, so you can alternatively solo the full mix against the imported file.
 
They should sound identical. If they don't, there is a problem with the export process. If they do, then WMP is altering the tone. You might also try a different player - there are many free players around that can play back 32-bit waves.

bitflipper
Export your full mix as a 32-bit undithered wave. Import this exported file back into SONAR as separate track, so you can alternatively solo the full mix against the imported file.

 
My preferred approach to this is to just bounce the Master bus to a stereo track called Master Bounce that has its output assigned direct to Main Outs - parallel to the Master bus. Then you can group the solo buttons in opposite states to A/B the bounce against the live mix or invert phase on the bounce track and check for nulling (keeping in mind that it may not null perfectly if there are unfrozen synths or FX in the project that have random elements).
 
Once you're satisfied that the Master Bounce track sounds right, you can export just that track to the desired format. Any changes due to dithering, resampling or MP3 compression should be all but undetectable so any significant difference you hear in the mix at that point would have to be due to the player or monitoring system.
 
 
 
 
 
 
 

To answer some of these, here's how I export a finished song:
 

 
...which I learned from watching Groove3 tutorials. (http://www.groove3.com/str/SONAR-X3-Explained.html)
 
@jonesy: WMP is set at default settings--no EQ.
@Cactus Music: My interface has no GUI mixer. If it did, I wouldn't use it anyway.
@Sanderxpander: I always review in stereo.
 
I'll try a couple of the things suggested. Also, I always burn a CD and play it in the car stereo, as it seems to emphasize a bad mix. The home stereo is pretty forgiving but the car is more honest.
 
EDIT: OK, I just bounced the mix to MAIN OUTPUTS. The mix sounds like I want it (in WMP). However, the waveform acoustic guitar did not get added. Strange, as my vocal tracks are wave files, and they got mixed.