Plug the keyboard into the PC then start SONAR and add the keyboard in
Preferences > MIDI > Devices "Inputs."
When adding DPro to the synth rack, using the "Insert Soft Synth Options" dialog, select either a Simple Instrument Track or "MIDI Source" and "First Synth Audio Output" and DPro will be inserted into the project with the appropriate track(s). Select the keyboard in the instrument/MIDI track input drop down and enable input echo.
Then load a program into DPro by clicking the entry at the top of the UI which says "Empty Program." The keyboard should play the program.