I'm just pasting what Scook linked : - I used to use use this all the time back in pro audio and early sonar days, and I forgot completely about it. Such a simple thing, but this is the beauty of long term compatibility and carry over from so many years ago. This is precisely why CakeWalk is my favorite DAW.
o play events step by step
1.
Using the keyboard, hold the CTRL and ALT keys and press the SPACEBAR to play the currently highlighted event. If the event is a note event, it plays until you release the SPACEBAR.
2.
When you release the SPACEBAR, the highlight moves to the next event.
3.
Continue pressing the SPACEBAR to play events one by one.
4.
To edit the last event you heard, release the ALT key, then release the CTRL key.
The highlight moves back to the last event you heard, so you can make changes. You can also audition a single event using the mouse. CTRL-click on an event to play the event. If the event is a note or Wave event, it plays until you release the mouse button.