I had the same problem. Could not get the pc speaker click to work.
But I do using the midi note. What you need is an external sound module. Sonar sends the midi info to the assigned midi output, and your sound module will play the click. Works fine, but occasionally you won't hear the very first click. What you can do, is record the click track and loop it, so that you have it for future use, and just load it into a track.