A MIDI file or just MIDI can't play without going to a synth of some sort. It is not audio but data that tells a synth what note to play at what time. If you imported a MIDI file and did not set up a synth it is most likely using the MS built in synth. Which is the single worst sounding synth there is. This also means you probably are using MME as your audio driver and that is a poor choice. Use ASIO or WDM if you have a proper audio interface.
Load the TTS-1 synth via the browser and make sure that all the outs of the MIDI tracks are going to it.
Also try not to import a MIDI file but load it as a project. MIDI is a native file format for Sonar. When import it it will not use its own tempo but the tempo of the opened project you imported it into.