The metronome settings are on the Project Options dialog, off the Options menu. (There's also a metronome toolbar, but the options dialog is clearer.)
First make sure that it's enabled for Recording (checkbox at the top). Then, decide if you want to use the audio metronome (in which case Sonar will generate clicks and send them to your soundcard) or the midi metronome (in which case Sonar will send a midi note to your default midi device.)
If you don't have a decent midi setup, I recommend using the audio metronome. This is especially true if your default midi device is your sound card's wavetable synth, because the latency will be unbearable.
Finally, if you are using the audio metronome, make sure that the "output" setting on the Metronome options page corresponds to the sound card your speakers are plugged into. If you have more than one driver, Sonar might be sending notes to the wrong place.
