firstly hi to everyone
 i use sonar 8.5 and everything goes through my alessis usb multimix 16 mixer which up until now everything has been ok.
the problem i have is when i play any of the work i have done it sounds fine and the eq etc are all as i want them for that song,
if i record the song to a cd through windows media player once it is burnt and i play it through my car/computer/cd player the eq sound totaly different then when i play the same song through the computer it was produced on . how can it be recorded so it sounds like the song i produced .
thanks for looking
tj

Welcome to the forum!
It takes good monitors and a lot, A LOT of trial and error to learn to mix so that it transfers well to any system. Be prepared to use a year or so (depending on how much time you spend with SONAR) for learning the basics of that skill.

A spectral analyser like the excellent, free, Voxengo SPAN, can help you to analyze your projects and compare them with commercial recordings. Using imported reference tracks is the first step in getting an idea of the task.

What on earth do you mean by this:"if i record the song to a cd through windows media player..."

Ok so you are Exporting your song from Sonar once you are satisfied with the mix as a 44.1/16 Wave file. 
You listen to this mix using the same system and a player ( software)  that does not have any sound enhancements enabled ( common issue) 
You even tried importing the wave file back into Sonar to test too. 
You are listening using your audio interface ( Alesis ) and not any On Board sound cards ( which should be disabled anyway) 

You are still happy with the mix and you burn this wave file to a CD using Nero or a any CD burning software. 
And it sounds different when played through the same system?