Seems this has been a busy month with sorting out peoples midi problems. The information is all there in the help files but possibly the way it is presented might be hard for some folks to figure out. 
So I don't have to keep repeating the same instructions over and over I've made some screen shots with a step by step on how to set up a Sonar project with midi. The first one here is playing a downloaded midi file from download to export. 
I have included a sample midi file for you to use and follow the instructions with. 
 
http://www.cactusmusic.ca/Sonarmidi.htm
 
 
Next I will do one on starting your own midi project from scratch. 
There is always more than one way to do anything in Sonar. I'm just going to show you how I do it.  
All versions of Sonar can follow this. 
I will also publish this to a PDF document for those who would like a hard copy. 
From now on when some one asks a midi question I'm going to refer to this page. 
 

Nice!  Thanks Johnny!

Johnny
That sure looks nice and lots of work put into it. 
I don't need midi help, been using midi since the late 80's. 
But i commend you on your efforts and the time you spend helping others.
Great Job!

Good man!

Way to go Johnny.  

Johnny V. Goode!!! 

Thanks everyone for your kind words and as always your support. I just like to pay back what I have learned here myself. 
I have added the link to my signature so it will always be easy to find. 
 

Good tutorial!
 
I've been doing midi since Voyetra (ha!) and pretty comfortable about all things one can do with - even control lighting, though moved to Cake in version 2 (came on a floppy that I'm sure I still have somewhere - a packrat am I).  
 
All good!
 
 

 Thanks Johnny!

Nice work!
With coverage from the very beginning up to the loudness of the final export, so everything important for the goal is mentioned. And without failing into unnecessary fine technical details or 100+1 third party plug-ins. But with illustration. Oh man, you have good nerves and patience, respect