Welcome, Clint.
You can import MP3's, but the other formats are visual images, and not something a program like Sonar can work with.
What does a picture sound like?
You can work with MP3, wav, and the audio tracks of video files. And MIDI, which I suspect you may find very useful.
Give us a rundown on what you are hoping to do, and we can try to offer some guidance.
Some important questions:
Which version of LE do you have? They're not all the same
Any system information you can provide will be helpful. What is your operating system(XP, Vista, Windows 7/8)?
What hardware did you get Sonar LE with?
Don't be afraid to bore us with details. The more we know, the better we can help.