I am not familiar with the program you are talking about but you should...
1) Insert RG into your project (Press B on your keyboard to open the Browser, click the Plugins Tab, click the Instruments button, go through the menus to find Real Guitar, drag and drop it into the track pane)
2) In the Insert Synth Dialog that pops up select the following: MIDI Source, Synth Track Folder, All Synth Outputs Stereo (or Mono depending on what you want), Enable MIDI Output (probably not necessary but leave it), Synth Property Page (which will pop open the GUI... again not necessary).
That will create a track folder with one MIDI track and audio output tracks for all the outputs the synth has.
Now you want to get your MIDI clip into the MIDI track. It will have different icon than the audio output tracks. Your MIDI track icon is a circle with some dots at the top and a notch at the bottom (it's supposed to look like an old DIN MIDI connector). You audio tracks will have a different icon that is that same circle superimposed over a little keyboard (do not drag the clip onto those).
I'm saying "drag it" onto the track but there are many ways to do it. Drag and drop would involve the Browser again so if you do not see the Browser cpress B on your keyboard again, click the Media tab and this will show a file folder structure of your computer. Move up or down through the folders to find the MIDI file you want to insert. Once you find it click and drag it to the MIDI track I described earlier and release it when it is hovering over the spot on the timeline you want. If it does not land exactly where you want just click in the bar at the top of the clip to drag it where you want (enabling Snap will help).
The other way would be to select the MIDI track by pressing the number on the track so it turns blue (make sure you do not have any other tracks selected). Set the Now Time to where you want the MIDI clip to start at. Then in the Global menus at the top of Sonar (the Windows style menus at the top of your Sonar screen) click File > Import > MIDI. A wWindows Explorer dialog will pop up where you can navigate to the file. Once you find it click Open and it will import the file into the track strating at the Now Time.
As far as the other stuff regarding different styles I guess that depends on the synth. If it has multiple channel outputs you could maybe feed different clips into the multiple channels. This would require creating some new MIDI tracks and importing the appropriate clips at the correct time and setting the output to the correct channel in the synth. Or you could do it through automation of the synth so it changes sounds as the project plays back.
If there is only one channel then I think you are stuck with multiple instances and creating a set of MIDI and output tracks for each.
Be forewarned that if you are using Sonar 64bit and this Real Guitar thing is 32 bit it will be "bridged" and may cause glitches.
Sorry if that was too elaborate or not elaborate enough... or completely wrong.
Cheers.