If you're trying to hear a note immediately upon adding it, the sound preview function may be turned off.
Go to Edit > Preferences (or the equivalent Settings > Preferences menu, depending on your Cakewalk version).
In the preferences window, find the option for "Sound Preview" and make sure the "Enable" checkbox is selected.
So I have cakewalk sonar. Using the above instructions doesn't get me there.
Do I need to do something else? Do you need more information?
Thanks