OH, now i get it.
you don't have the full Sonar just the demo so you can't save the work you just did. i didn't know the sonar demo did that.
you are going to have to either dub it to tape or (if this functionality works in Sonar's demo) export the individual wave files onto your harddrive.
secretly though, the wave files sonar built while you were recording (i am assuming Sonar2 and that you are referring to audio and not midi) are on your hard drive already. you just need to either export them (as stated above) or just copy them somewhere for safe keeping.
the files are located either under the folder with the same name as the name of your project, or it is under cakewalk's wavedata (it might be called 'audio' now) folder.