I am new to this software and I am having difficulty getting specific sounds from my keyboard to the software.  I am ab

You can not import the sounds, I think. You can record them via Yamahas headphone output, though.

I suppose you can record MIDI with it, and trigger it's sounds with MIDI sent from SONAR, but I'm not sure, as I don't know what the "MIDI-to-host" USB-cable is capable of transmitting.

You are new to the software, but most forumites are also new to your keyboard. We need to go to internet and search for the specs. You could have given for example a link to Yamahas manual.

Right. You'll have to record the audio output of the Yamaha into an audio track in SONAR iif you want to use it's sounds.
Welcome to the forum.