When setting up MIDI, why can't I have MASTER as an OUT? I have a Yamaha MM6 that is connected via USB, I can select the MM6 as IN, but my only outs are Drum stuff. Because of this, I get no sound or input (I think this is why).

I think it would be worth your while to go through some of the tutorials and videos to get the basics for intial setup.

You'll need to set your midi in from your KB and your midi out to your KB from the midi track you want. You'll need to connect your audio cables from your KB to your audio interface to hear your KB.

Then setup a audio track for your keyboard. You can either record the sound from your keyboard or not. I don't do this but I'm sure someone here can enlighten you further.

Beacause MIDI is not audio. It is a file containing computer instructions that tell a MIDI instrument what to play. That means you need a MIDI instrument, either a keyboard connected to your computer via MIDI cables or a softsynth, such as all the ones that come with Sonar that you can add to the synthrack, i.e., TTS-1, Dimension Pro, Pentagon, Session Drummer, etc... 

Here's a good reference (although perhaps a bit dated): desktop