First off, have you run the vst adapter? You need to do that before anything else.
Then follow these steps and it should be easy:
If sonar already recognizes the midi in out:
1. look for an icon that says "dxi" on your toolbar for sonar. If its not there, look under view/toolbars and start clicking everything until you see a little "dxi" icon show up.
2. click on the icon, or some equivalent in one of the startup menus.
3. The "synth rack" should have just popped up. One of the buttons on this "rack" is you "dxi synth options". click on it.
4. some options pop up. You want to check "midi source track" and "first synth output". click ok.
5. another one of the buttons in the rack is your vst's. Find it, click it, and choose whatever synth you want. Your "dxi synth options" might pop up again. just make sure the appropriate tracks are checked and hit ok.
6. You have just created a linked midi and audio track. Arm the record on the midi track and you should get some sound comming from you monitors.
hope this helps,

I have Sonar 3. But I have used five and the interface is basically the same.