Under preferences there is an option for audio playback and recording to "Share Drivers With Other Programs." I notice that when I try to play back a project file without midi hooked up there is no sound through the computer sound card. Does this option allow the project to be played back through the computer sound card?
Thanks and have a great day.

Share Drivers With Other Programs Will basically make sonar relinquish control of the audio device when the program loses Windows focus. So I don't think its your problem unless your clicking away from sonar.
If your using another audio program on your computer sonar can share drivers with that program.
 
Why don't you give me a little more detail on whats going on,
For example, What midi device do you not have hooked up ? Are you triggering midi from this device or using soft synths ?