If you are only seeing file names when you click "Load Track Icons." you just need to click the top right button in the Windows Explorer window that opens and change it from "Details" to "Medium Icons." This is a Windows setting and has little to do with Sonar itself.
My icons were installed by default under C:\Cakewalk Content\[SONAR Version]\Track Icons. If your icons are missing, try looking there or do a search for "icons."
I moved Cakewalk Content folder to D: to save space on my system drive and I changed the setting for icons in Folder Locations to reflect that. Try looking at that setting under Preferences. Maybe it is set wrong. When you find your icon folder, be sure to change this setting.