No problem, it was all new to me too. Sometimes it still feels like it is, hehe.
Typically people get a decent sound card that they use between the PC/Sonar and your instruments. I'd be surprised if anyone tried to operate without one because it's the way you get external sound (audio) or optionally MIDI into the computer. And it's also the way you'd listen back to your music as it plays within Sonar.
I mention the Roland VG-99 because it allows you to circumvent the norm of using a sound card by providing an audio stream straight from the pedals. But I think this is more rare and even I don't bother to use it that way (although there's no real reason not to).
You might want to look into some sound cards and see what they might offer you and what price range you're willing to pay. Companies like Roland, MOTU, M-Audio, etc. all make good sound cards, most of which you can plug into your PC via a USB cable. You would then plug your instruments into that sound card and headphones to listen to playback or to directly hear your instruments.
Here are a few cards by name as a starting point for research:
- Roland DuoCapture / QuadCapture / OctaCapture
- MOTU 896 MKIII
- M-Audio Delta / Fast Track
You could conceivably use the sound card built into your PC (typically in the motherboard) but I would't recommend this. They are less stable, less capable and lower quality when it comes to recording and playback...