Ah, Kalle got in there just before me.
I was going to say, for the first several months of owning/using Sonar, I always had incredible difficulty figuring out how to export audio, it's incredibly unintuitive.
But yeah, as Kalle said,
Make sure both the midi track and it's audio/instr out track are selected,
Drag a selection across the time at the top of the track for how long you want
Then go to Edit>Bounce to Tracks