I'm sure this has already been explained somewhere, but I couldn't find it so here it goes... I am using sonar artist for reference.  I've noticed that when working on drums for example.  If I click in the notes in piano roll, I can delete them.  If I record the midi from my controller, I can't delete any notes after.  Is there a setting somewhere that can change that?  

I have no idea of what you're talking about. I've never experienced any differences in the behaviour/editability of MIDI notes drawn with a mouse or recorded with a controller, and AFAIK, there should not be any.
I'm only guessing here, but could it be you're working with the mouse on a different track and you're controller is recording on another track?

I double checked and no.  I can insert and delete notes, but can't do anything with the notes I recorded.  I didn't know if there was some kind of lock I accidentally put on or something...I'm a complete noob with this stuff btw.  If I open them in the step sequencer I can edit them there, so not the end of the world.  The whole thing is really buggy though.  I can't use the control bar either (play pause etc.) when I mouse click it does nothing.  

Sounds like you Mouse needs some cheese! Change the batteries. 
 
I made a simple tutorial on using Midi with Sonar. Might be helpful for you. Step by step real basic stuff. 
http://www.cactusmusic.ca/Sonarmidi.htm
 
 
 

I'll check it out.  Thankya

SOLVED!  It was my resolution settings.  I'm using my tv as a monitor and had it zoomed in.  Put it back to 100% and everything works fine!