I have a Yamaha digital piano, and it has a single stereo output jack 1/4", and I use a $4 splitter I got from Radio Shack to split the stereo signal into two 1/4" mono jacks, and I use 2 instrument cables to connect to a left and right input on my audio interface.
And, if you want to take advantage of all the nice soft synths, like Dimension Pro, you will likely want to connect a USB cable from your keyboard to your computer - making sure you load your keyboard's Windows drivers as well. This will allow the transmission and capture of midi data - keys pressed and such, from your keyboard, into Sonar.
I have some incredible piano samples on my computer, and routinely trigger those via that Yamaha keyboard, using the USB connection to the computer to transmit the note information to trigger those wonderful sounds. (even the wrong notes sound good).
I highly recommend you read some of the Cakewalk documentation, watch some of the videos, and consider picking up on of the "How to Use Sonar to Take Over the World" books - I had a Sonar 8.1 Power book that had GREAT information in it.
Cakewalk is a lot easier to use for beginners these days, but it is still a professional, full-featured program, and you will get a lot out of investing some time into learning both the basics, as well as more advanced functionality. It will enrich your use of the product tremendously.
Your audio interface should work well with Sonar, but you have to make sure you get the basic setup and settings right, or you will have some frustration.
This forum is also a great source of assistance - but it would be good if you also read the doc as well.
Welcome to it, I hope you find great enjoyment with Sonar - it is a great product. :)
Bob Bone