No Midi Output Selected and I can't hear anything play??

Your microphone is not a MIDI interface device and you apparently don't have any MIDI devices.  MIDI can be clicked into place in SONAR using your mouse and rendered using softsynths, but it is much easier to generate MIDI by playing a keyboard or other MIDI controller and record that MIDI through a MIDI interface recognized by Windows and SONAR.

If you obtain a modern MIDI keyboard controller that has USB capability you can generally send/receive MIDI with the keyboard controller over USB.  You can also get dedicated MIDI devices.

Cakewalk has an inexpensive line of audio interfaces, MIDI interfaces, keyboard controllers, and combination units that would get you going.

The USB microphone is fine for audio but it won't get you anywhere with MIDI.

I'm not an expert on MIDI, but I don't think you need to select the MIDI output to hear MIDI.  I believe that's to send MIDI instructions to (like a hardware synth).

I STRONGLY recommend working through the tutorials.

MIDI and softsynths are very useful.  Learning to use it is time well spent.

Meanwhile, if the warning message is bugging you I believe (I'm not in front of the DAW) you can shut it off until Tools>Global>MIDI or maye ...>General

Options/MIDI Devices
will show the Microsoft MIDI mapper. That one plays a MIDI file that you load into sonar MIDI track(s).

So, click on the MIDI mapper and it becomes dark when selected, then OK.

Then, on a global way, Sonar has the Microsoft Synth as an available output.

Then, on a MIDI track, load a MIDI file. And for THAT track, right click on its Number (identifier) and on Track Properties, as MIDI output select the MIDI mapper.

This means that you can have more than one MIDI device globally, but for each track you specify only one.

Options/MIDI devices shows all that Sonar can find, you select as many as you want Sonar to handle.

i figured it out...now my problem is lag or latency, how to correct it?