As above have suggested, File-Import Video.
Make sure you have some codecs on your machine, Klite are a good way to start on the myriad that are codec issues.
http://www.codecguide.com/download_k-lite_codec_pack_mega.htm Quicktime Pro is a good and cheap and efficient way of converting video, as is Windows Movie maker.
DONT try and export video from Sonar and especially X2, export the audio and re sync the audio and video in QT pro or Movie maker and then export from there. Sonar is a DAW.