SI-Drum Kit 1

arming is not normally necessary for using the SI drums - what exactly are you trying to do?

You'll need to program a MIDI track to feed to SI.

This video demo from Cakewalk might help: http://sonarrules.wordpress.com/2009/03/05/sonar-home-studio/
It covers recording guitar tracks with SI-drums along with some other things.

Did you get it figured out?
You can't record the drums that are playing in SI drums. You have to drag the pattern from the browser in SI to your MIDI track.
Record is for recording the input from an external device, such as a controller, to the MIDI track. This track will trigger the drums on playback.
Click F1 with SI Drums in focus. This will bring up the help page. See the section on Using the MIDI Patterns.
If you get in a jam, most Cakewalk software has a help file waiting behind F1. We're glad to help, but spend some time with the help files. You will probably see things you wouldn't think to ask about.
Good luck.

Let's back up a bit.
Do you have a MIDI keyboard or controller?
Have you found the Piano Roll View, or Staff View?
These are how you enter your MIDI notes.
You cannot record the synth by playing the onscreen keyboard in the synth GUI. This is for auditioning only. This is true of any synth. It has to do with the signal path.
I'm not sure about the one long note. It may have something to do with how the synth reads the mouse. If you hold the mouse and slide up the keyboard without triggering seperate notes, I've seen that happen. It's not really intended to actually play the synth.

No problem. Make sure you have the keyboard plugged in before you start SHS7.
You will need to go to Options>MIDI Devices to select the MIDI inputs. I'm guessing you will be connected bia USB. If so, the Prokey 88 should be identified by name. Select that as a MIDI input.
Make sure the Microsoft GS Wavetable Synth is NOT selected. You don't even want to go down that road.
You already know how to insert soft synths, so expand your MIDI track, and select the keyboard from the Input dropdown menu.
Keep it simple at first. Try TTS-1 or Studio instruments.
Hit some keys, and you should get sound, if everything is configured properly.

Good. Forward progress.
Are your speakers connected to the UX-1, or the computer? The UX-1 is your sound card now, and you should be monitoring from it. If your built-in sound card is still in the loop, you will get crackles, latency, and other fun stuff.
Your UX-1 should support ASIO. Are you using the default WDM driver mode?
Generally, ASIO is better. Set your driver mode to ASIO, close, and restart SHS7.
This will allow only one sound card to be active, so check your connections first, and make sure your speakers are plugged into the UX-1.
When you make this change, you will adjust your latency from the ASIO Panel instead of the buffer slider.
You should be able to get clean sound at 10ms latency.
You may need to change some settings in the UX-1 controls (used to be Gearbox).
Keep track of what you do, so if you get into trouble, we know what you did.
Keep going!