Well!  The good news is, it works!  The weird news is, the midi lights on the bottom of Sonar don't light up!  

Is it possible I have set something to turn those lights off?  

I'm now thinking that it was working the whole time and I was relying on the lights to tell me if it was working or not!

I'm so happy I don't have to send a piece of equipment somewhere, or buy something new.  But I'm still perplexed!!

I don't think there is anything you can do to stop those lights from working. If its receiving input from your keyboard, the left LED should light. If Sonar is sending data to the keyboard, the right LED should light. 

Play a MIDI file. Does the right LED light? 

What do you have selected for Input and Output on Options-MIDI Devices? 

Did you make sure the MIDI OUT from the keyboard is plugged into the MIDI IN of the M-Audio box?

What version of Windows are you using?