After i enter the notes on the piano roll, i press play but there is no sound coming out... 

What soft synth are you using? The piano roll information is only midi notes information. The notes info need to be send into a softsynth in order to generate sound.  

The notes are really data that has to be sent to a synth. Either a soft synth or a hardware synth. Its the synth that makes the sound. MIDI is just a protocol to tell synths what to play at what time and at what pitch. 
 
So load up TTS-1 via the Browser using the Synth Rack and send those notes to it. You will see a output at  the bottom of the MIDI track where you can output to the synth. 
 
Actually I don't know what synths come with Sonar LE. The basic idea is the same for all synths. 

I think it comes with tts1 and sound centre. Maybe with rapture le.