You need a midi tone generator on your sound card or it is no sound from midi !! Sorry the news is not better !
The good news is you can get a really cheep one in the form of a Creative Labs Soundblaster live 5.1 for about 50 bucks new and a lot less second hand.
Is it top of the line...well no,
will it do the job... yep
is it cheep..yep !!
Or you can use a soft synth (many $$$$) or you can use an external midi device (like a drum machine or a tone generator) if you have some sort of midi port (usb midi ports start at about 30 bucks)
You should be able to here Wav files if you have a working sound card. If you can play like mp3s using other apps then it is just a matter of configuring Sonar to the card.
My
instructors page and
www.studiotrax.net for all things recording.
my toons Brought to you by Dr BadGAS