Hi I need to change the midi note that's being read by sonar how do I do that? I can't change it from the device into sonar, that's not possible so any ideas?

It's not possible to change what's recorded form the input, but you can change MIDI event parameters at the output during playback or real-time input echo using various MIDI track settings and automation, MIDI FX or Drum Maps. Which tool works best depends on what you want to change. If you want to remap individual note numbers, assigning the output f the track to a Drum Map will let you do that. Track headers and the Inspector have settings to offset velocity, transpose all pitches, change the output channel., etc. And MIDI FX plugins can do most of this and more.
 
 

Ah ! I got a electronic drum kit an it's module can't be altered! So I'm getting open hi hat even when my foot is pressed down on the pedal! All works well apart from that ! Very frustrating!

I thought the problem was the kit only sends one MIDI note for hi-hat with CC data for open and closed. This is different than mapping notes. http://forum.cakewalk.com/FindPost/2959694

Just use the drum brain while monitoring your performance, Then change the midi notes in the editor. 
Open Hi hat is not a CC it is the G#3 and A#3 in GM and 90% of drum kits.
In the hi end kits there is some kind of variable that uses cc events but only some SFX files will playback  properly. 
This is why I monitor using the original sound from my kit. Then I can mess with Sonar. 
In Session drummer 3 the Yamaha Birch Kit seems to work best for me. A lot of the samples do not respond to open /close , Snare rim shots and Ride bell tones. 
 
Which drum set is it? 

Did you read the thread I referenced? I am not familiar with the Alesis DM Lite but assume the OP was accurate.

Yes scook ! That's the kit I got! Can't change nothing on it! I'm using sonar 5 producer ! I called Alesis and they say it is an issue with sonar as it works on all other daws !

Alesis support is incorrect. It has nothing to do with the DAW, it depends on the synth being used. Addictive Drums (which is bundled with X3 Producer) is the only drum synth I have which has a provision for CC hi-hats, there may be others. I would imagine SONAR 5 did not bundle a drum synth supporting CC hi-hats. I am not sure that feature existed in 2005.
 
There is a free version of Addictive Drums at XLN Audio which may be on interest. Hopefully, this includes their cc hi-hats, I have not downloaded it.

Hmmm! Yeah I got SI drums on it ! Sounds good ! Hi hat working proper it would be great! Any ideas ?
X3 producer you say ,, so if I brought a laptop capable of running x3 and x3 producer it would work?
Lol kit cost £199 ! Lol hmm

I'll have a look at that addictive drums free download! Thanks! I won't hold my breath, my laptop is as old as the sonar software I got ! Shall see if I got spec to download it! Cheers

I cannot say for sure, I do not have an Alesis DM Lite kit or anything that uses cc hi-hats. Try the free version. If the free version works, that may be enough because you could use it along with the SI Drums.