DON'T PANIC
You thought you were getting a paring knife, but they delivered a new kitchen, including ranges and glassware. There is a paring knife in there somewhere, but you are going to have to hunt through a couple of drawers.
Your a-500s does not have the capability of making any sound on its own. It isn't too different from your computer keyboard (except it knows how hard you type and can handle more than one key being pressed at a time). So what happens when you hit the middle 'C' key is it sends something like the letters C4 and a number between 1 and 127 to the computer. Concievably you could 'type' on your computer using your 'piano' keyboard.
When you run Sonar LE on your computer with the A-500s plugged into the computer, it can see what you are 'typing' on the 'piano' keyboard.' It can 'record' what you are 'typing' or it can pass it along to another component that knows how to turn the letters C4 and the number into a sound (a synthesizer).
He first thing that we have to do is introduce your keyboard to Sonar. With Sonar running, go to the menu bar at the top and select EDIT->Preferences. This will open a window with several options listed down the left hand side. One of these is MIDI -> Devices. Select MIDI Devices and look to see if your keyboard is shown in the 'inputs' box. It might be called something like A-500S. If it does not show up here something was missed in setting up your A-500s on the computer and you need to go over the user manual for the keyboard on how to install the drivers.
If it does show up there, go to the Sonar menu File -> New to create a new project. There should be several choices for types of projects to create. Give the project a simple name (katinka for example) and select the 'normal' template. This should cause Sonar to open up in the 'Track View' mode and show a line for an audio track and a MIDI track.
We will tell Sonar to send the keyboard typing to the MIDI track and have the MIDI track pass along the information to a synthesizer. Add a synthesizer to the project by selecting 'insert->Soft Synth' on the menu bar then selecting 'Cakewalk Sound Center.' Check 'First Synth Audio Output' and 'Synth Property Page', then click OK. This should result in the Sound Center being shown on the screen. Drill down to a piano (or a kazoo, or strings, or whatever you want the keyboard to sound like) You can use your mouse to test the sounds by clicking on the keyboard displayed in the sound center.
Go back to the MIDI track that was created for the project. Select your keyboard as the input and the Cakewalk Sound Center as the output.
This might be a good time to save your project so you don't have to do this every time.
If the gods are happy with you, you should be able to play music on your keyboard using the A-500s keyboard.
Dealing with the delay might have to be handled in another message. You don't necesissarily need to get an external sound card. Lets get this much working and then see what we can do performance-wise with what you have already got.
Glen