You are totally not understanding how this works. I'll give you a breif instruction, but you should read the tutorials as well, Sonar is not a program you turn on and use without learning a LOT first.
Audio is recorded to an audio track. Audio is recorded as a wave file can be listened to after it was recorded.
MIDI is recorded to a MIDI track. You cannot hear a midi track as it is just data, it has no sound. It is then used to PLAY a synth.
The easiest way to do this is insert a soft synth , try the TTS-1 for starters as it's a GM synth.
Then you will hear your keyboards midi output and can create a whole band drums and all. The sound of the TTS-1 will be exported along with any audio tracks as a wave file.
There is a lot more than what I have typed here so you will need to read the help files and follow those instructions step by step.
Start with the help file "inserting a soft synth"