I made a recording, and saved what I thought was the whole thing, and I went to export it and burn it to a CD only to realize i had only saved the first 40 seconds. I was hoping that someone knew if there was some sort of archive built into he program from which I could retrieve it

Not enough information.
 
Are your recordings visible in Track View? If they are then you've simply got the Export wrong.
 
If they are not, you need to look in the audio folder which could be in one of 2 places depending on how you've got Sonar set up.
 
Either way you need to have a look in windows Explorer
If you''re using per project folders, navigate to the folder containing the project and drill down into the Audio folder. All your wav's will be stored there.
 
If you're using the Global folder (NOT recommended!) then you'll need to look in Global Options and find from there where Sonar stores your wavs.

Here's more info, (would have to check settings when I get back to computer this evening) I recorded a sermon at a church, and we always save the original recording, the cakewalk format, then we save it to wave for making CD's with. I saved the cakewalk, and exported the audio to wave, and I turned off the computer. I rebooted to make a copy later on, and realized the file size was way smaller than what it should have been for a 45 minute sermon. I opened up the cakewalk file, and there was only 40 seconds on it. I was wondering if sonar had any kind of backup, because I know it recorded correctly originally

Until you can check what's in your audio folders, diagnosis is impossible.

Your post confuses me. If you finish recording and save the project, the whole project has to be there. There's actually no way to do anything different unless you delete the tracks. You can't even close Sonar without it asking you to save the changes made. 
So I find it next to impossible to record 45 mins, save it and only have 40 sec.
 Or did the computer flip out of record after 40 seconds? 
As Bristol says look in the audio folder and what is there is what is there. 
Is the full 45 minutes on the first CD you burned or only 40 sec. ?

Cactus Music
Your post confuses me. If you finish recording and save the project, the whole project has to be there. There's actually no way to do anything different unless you delete the tracks. You can't even close Sonar without it asking you to save the changes made. 
So I find it next to impossible to record 45 mins, save it and only have 40 sec.
 Or did the computer flip out of record after 40 seconds? 
As Bristol says look in the audio folder and what is there is what is there. 
Is the full 45 minutes on the first CD you burned or only 40 sec. ?

Yeah, it does sound as though the export itself only captured the first 40 seconds, as though maybe the timeline was selected for that range or similar.     When you reopen the SONAR project, do you visually see 45 minutes worth of clips?   If so, then you should be able to re-export.