I last used Cakewalk 5 years ago, but since then I have replaced my PC and I can't remember what I did.
 
I have recorded a MIDI Sonar 6 track, and it shows data on the staff view.  However, when I play it back I hear nothing.
My only audio device is a Focusriate Scarlett 8i6, which is connected to the PC via USB.
What do I need to do?
Barry

Welcome to the forum.
You need to select a MIDI device. That could be the Scarlett (if it has MIDI ports) or the computer sound card's MIDI synthesizer, the Microsoft GS Wavetable synth.
If selecting the Scarlett, there will have to be a MIDI synthesizer connected to it, like a MIDI keyboard.
The MS GS Wavetable synth doesn't have very realistic sounds, but it's okay to learn with.
If SONAR 4 supports software synthesizers, that's the route you should go.
You would need to have a MIDI track with data in it and that MIDI track output to the soft synth, which is output to your Scarlett's audio out.
How long have you had SONAR 4? It's pretty old, and it may be that it only supports DX soft synths. I can't remember what year Cakewalk started supporting VST soft synths...

SONAR 4 still needed the VST Adapter, IIRC.
I'm sure you'll find the necessary info in the Help files and tutorials.