First of all, Mark, welcome to Sonar and to the forum.
One thing that would help us for posts that you make in this forum is to edit your profile in the signature section, to add the list of specs for your system. You will see them at the bottom of most of the posts in this forum. Near the top of the forum page, you can hover your mouse over User Control, and click on Edit Profile. Once there, add your system specs, then check the box that tells it to add your signature to the bottom of your posts. This will help us to help you better, by letting us see what kind of hardware/software you are running.
OK, now all of that aside, on to the midi. Please note that there are several ways pf getting the following accomlished. Some folks like using simple instrument tracks, for example. I don't like them, so I do not use them. My example below is one of multiple ways to get your external synth playing soft synth sounds, so please rest of the forum posters please do not jump on me for suggesting that my steps are the only way to do all of this - thanks.
To access soft synths in Sonar, you have 4 things to take care of:
1. You need to have a soft synth loaded up into the synth rack. Make sure that a sound is loaded for that soft synth. Some soft synths have default sounds pre-selected, while others need to have you select a preset for them.
2. You need an external midi controller (keyboard, wind instrument, etc) connected to your computer, and that device must be visible to Sonar and checked as a valid input device. This is done Edit>Preferences>Midi>Devices.
3. You need to insert a midi track, and the track's output needs to be set to the synth in the synth rack.
4. You need to insert an audio track, and set the input of that track to one of the outputs from the soft synth, and the output of the audio track must be routed to some buss (Master or some sub-buss that eventually gets routed to the master buss).
So you have a synth loaded, you have a preset selected for that synth, you have a midi track's output pointer to the synth, and you have an audio track's input pointint to an audio output from the synth and the output of the audio track sent to some buss.
The above is the quick and dirty explanation. I would suggest you review the video that was posted above, and also read some of the documentation on using soft synth's as well. I think there is also a tutorial for this too.
Best of luck to your, and I hope what I posted helps you,
Bob Bone