Sure - once your friend creates a midi file for you, just start up a project, click on File>Import>MIDI and navigate to wherever the midi file lives on your computer, then double-click on it to select it for import into Sonar.
Sonar will then create one or more midi tracks for you, from the single midi file you imported, depending on however the original midi file was recorded on your friend's machine.
So, for example, I have a giant collection of free midi files I downloaded from the web, and I just moments ago did an import of one of these files - ABACAB, from Genesis.
Sonar created 12 midi tracks in my project, based on what was in the imported midi file.
All I have to do now is to insert a bunch of audio tracks, and a bunch of soft synths, and then set up the routing assignments to send each midi track's output to the appropriate soft synth, and also route the audio tracks to pick up the appropriate audio output from the associated soft synth, and hit play.
Depending on the checked boxes in the Insert Soft Synth Options dialog box, which opens when you insert a soft synth into the synth rack, you could elect Sonar to automatically set up and route audio tracks for a given synth during its insert, or you could do it manually (which I do).
I hope the above helps,
Bob Bone