So, after clicking on the big red button, and selecting Sound on Sound I got something. But, the volume is very low and it's only in my right ear.  Still working on it though. How can I get volume up 
 
 
 

Ok, I got the volume up but I can't hear myself in the headphones while I am recording and it's still only on the right side when I playback.  Sorry if these questions are coming fast and furious.  I'm still learning.
 

Ok now I'm really stuck. I found that if I click on Input Echo, I can hear myself in my headphones but there is a slight delay. I think this is called latency.  How can I fix this?
 
 

There are two sources of latency you can control, the audio interface buffers and Plug-in Delay Compensation. In ASIO mode, audio buffers are set in the interface client software. Plug-in delay compensation can be avoided by using plug-ins that do not require buffering. PDC can also be managed in the Mix Module by bypassing FX or toggling live input PDC override. Reading starts here http://www.cakewalk.com/Documentation?product=SONAR&language=3&help=ControlBar.07.html