I have 2 tracks 
A bass and a drum track
I hit freeze and expect it to make a new track with a wave form.
It goes thru the motions but then just returns the midi track and is not frozen.
What am I missing?

Freeze does not create new tracks. Freeze uses an existing set of audio+MIDI tracks or an instrument track. The audio is frozen in the existing audio (or instrument) track. Bounce will create a new audio track but still relies on an existing working set of audio+MIDI tracks, instrument track or bus as the source of the audio to bounce. IOW, without an existing source that makes sound there is nothing to freeze or bounce.

Well of course it does make a sound thru the plugin, so I assume I would make a new audio track to freeze to, but what would the in and out be on the two?
This always confuses me.
 

If you can hear the synth, there has to be an existing audio track somewhere that has the synth set as Input, and outputs to Master bus. Assuming the synth is in the synth rack, and you inserted it with the Simple Instrument track option, that Audio track will be combined with the MIDI track. When you freeze a Simple instrument track you should see the MIDI clip replaced by an audio clip in the track after freezing. If the MIDI and audio tracks are separate, you would see the frozen wave appear in the empty audio track.
 
In either case, the Freeze button should turn blue and stay that way. Is that the case? Or is the freeze simply failing?
 
In either case, try right clicking the track and choosing Split Instrument track, this will separate the MIDI and Audio tracks so you can more easily see (and understand) what's going on.

Ok. Yes the synths are in the browser rack
There is no "split instrument track" but there is a "Make inst. track".
When I click on that, an alert tells me "making and inst track requires a single audio and midi track be assigned to the same synth."
Sounds like what I want so I click OK but it doesn't do it.
I have no idea how i got into this as these trax are a few months old.

Hit H to bring up your Track Manager, and make sure all tracks are showing.

I have had the same issue, except in my situation the MIDI and audio tracks were side by side.  I clicked freeze, it went through the motions and when finished I was left with both tracks untouched and not frozen.
 
I have seen this in X3 at least once and X2 a few times.

I had a couple of cloned tracks (B&D) hidden but they seem linked.
When I freeze one they both seem to highlight and the same thing happens.
On Freezing one drum midi track, all the drum trax highlight as if linked, sonar does some processing, and at the end, a track flashes (looks like it was going to work) and then disappears.
Same with the bass. I had a cloned track that is linked.

M_Glenn_M
On Freezing one drum midi track, all the drum trax highlight as if linked

Yes, if you're using multiple outputs of the drum synth, they will all get frozen together; it's not possible to selectively freeze individual outputs of the same synth.
 
At this point I think I either need some screeenshots or a copy of the project posted or e-mailed so I can look at it firsthand. Hard to tell at this point whether something's buggy with this project or it's still just a configuration issue.