No Bamim,
You'll have to bring the actual [audio] file into Pyro. I believe what you are thinking of is the MP3 Activator. That is a different thing that you can purchase and then you install it and it migrates right into SONAR. Then you are able to export and save as in MP3 format. Pyro is different in that it is it's own program and you would have to bring your audio over into Pyro and then convert it over to MP3. It's not automatic and it's a bit cumbersome, however, it does work.
You can buy that MP3 Activator for 20bux at the store, or there are free ones around also. I can't remember the names off the top of my head right now- but if you search here for "MP3 in SONAR" you will likely find a few threads about it and they discuss the freebies. Hope that helps