At a minimum, you need to have one audio track with its input set to SD2, and a MIDI track with its output set to SD2 into which to drop the MIDI file. Or they can be a single Simple Instrument track. You can have SONAR create these tracks for you when you insert the synth.
I can't help you beyond that because I coincidentally just installed the SD 2.3.2 program and sample updates, and it's now hanging on loading samples.