You need to insert a soft synth and set the midi tracks output to it to hear any sound with midi. Try the TTS-1 which is an easy to use 16 channel GM module. 
As mentioned already, Sonar or any DAW takes a bit of reading the tutorials before you can get started. There are just too many steps to have us repeat what is already clearly documented. 

Spend a couple of days reading the help files and when you get stuck we can get you going again. Good luck, And good move on getting an audio interface that is more important than the software. 

UPDATE.
                                                 I now have sound YeeHaaa   Oh Happy Day 


I did as I was told and ditched the asio4all completely. disconnected then reconnected everything and for the time being I also ditched the StudioMix mixing desk as it seemed to be confusing the issue. 
As for them there tutorial thingy's. Bloody good them aint they? lol
Anyway. no more running before I can toddle, reading then re-reading is the order of the day.
Many Many Thanks guys for your advice and patience, you saved this balloon-head from packing it all in and taking up knitting.


Stay safe y'all 

WTG!!!

Go have fun and make some music  Woot Woot