Did you load a kit into session drummer?
It would seem if you have used Sonar before the basics are the same but just to refresh your memory...
Insert the soft synth
Assign the mid track output to that synth
Session drummer is silent until you load a kit, If you used session drummer 2 you would already know that ,, right? Just hit the drums in the GUI to test it.
Is there sound from other tracks.
Have you used X3 for anything else yet?
You did get the Session drummer synth loaded didn't you?
Reason I ask is you used to go up to insert to load a soft synth but in X 3 you do this differently. You have to access the synth rack in a side bar on the left or right depending on the screenset your using. For me it's on the right in screenset 2. expand the side bar.