Does only MIDI not work? Have you played back any audio tracks? Do you get soundcard error messages?
Did you check your MIDI output (I believe in "Options", "MIDI Devices"), that at least one MIDI out was checked there? (Or as the other poster wrote, you can use a DXI plugin synth (such as the included TTS) instead of whatever MIDI devices you have installed system-wide.)
If you are getting soundcard error messages (from Sonar), it could be that you are having the same problem I had on my laptop, with WDM. (See another thread I started, I think called "WDM Problems".) Although these built-in laptop soundcards are supposed to support WDM, I think often either they don't do it correctly, or Sonar doesn't interface well with their type of WDM, or something like that. Since they send the message that they are WDM capable, Sonar opens them by default in WDM mode, but then won't play back through them, and sends out error messages.
If you change to MME mode (in "Audio Options"), then close and re-start Sonar (you might wish to delete the "aud.ini" file before restarting, in the Sonar folder), it will re-start in MME mode, do the wave profiling on it, and if your problem was created by the WDM problem I referred to in the previous paragraph, that should solve it.
If you don't like MME mode, if you find too much latency, etc., there are a couple of options. These laptop soundcards do not work in ASIO mode, do not have a driver for that. However, there is a free ASIO driver you can download that will work with any soundcard,
Asio4all. With that loaded you should be able to use your laptop soundcard in ASIO mode, with less latency. I tried it, and it worked. However, there were some things I didn't like about it, so I uninstalled it. Look at the forum at that web site to see user's comments. It did work, provided ASIO support for my built-in laptop soundcard.
The other option would be to use an external soundcard. There are many types you can get to use with a laptop,---USB, Firewire, and PCMCIA. There are discussions of these types on this board. I will usually use an external card with Sonar--currently USB, and my soon-to-come Echo Indigo I/O PCMCIA soundcard. When I use the internal soundcard of my laptop, I will just have to change to MME mode. (So--two options for using your internal soundcard, if WDM doesn't work--either use MME mode with that card, or install ASIO4All.) (Unless someone has found a solution to these WDM problems--I asked about it before, and no one came up with a solution. So for now, no WDM with my laptop's internal soundcard.)