I've never used Sonar so I don't know for sure.
Cubase came with a very basic VST drum machine as well as some really cheesy synths. Anything decent though, like battery, I had to buy.

As far as how you use them ... like I said.. no clue how Sonar works but with Cubase, you pull up the VST instruments pull down window and select which one you want to use. Then you set the midi recording track you're using to output to that instrument. (from a choice of outputs like modem/printer etc..)

To check what VST instruments or plug-ins you have (if any), you can probably take a look inside the VST Plug-Ins folder on your hard drive.