If you have a SoundBlaster Live or Audigy, there's a SoundFonts item on the Options menu in SONAR... click Attach from the dialog box and you can browse to the location where it's stored on your drive.
In the Track settings for your MIDI track, set the output port to one of the SB MIDI Synth choices (A or B; I think only A works on the Live for SoundFonts). The Channel List should show SoundFont Device afdter each channel number. The Bank list should show a default bank and Bank 1 should be labeled with the name of your SoundFont (if you loaded more than one earlier they should all show up in this list). Then select the Patch from the Patch list. One final caveat -- you might need to fiddle a little with the Bank Select Method if the MIDI sound doesn't seem to change from what it was. The choices are Normal, Controller 0, Controller 32, and Patch 100.. (this might not be an issue any more with the Audigy card).