Midi is data only, there is no actual sound to the midi tracks themselves. They need to be assigned to either a software synth or an external synth to actually make the sounds you want to hear.
For instance if you load a demo of a midi sequance you will need to add a software synth such as the TTS-1 or Roland sound canvas which are general midi compatable and will play the instruments sounds assigned to the demo's midi channels. Use the Synth Rack feature in Sonar to open one of them. Then you will need to assign the output of each of the midi tracks to that particular synth and you will get sound. Make sure to assing the synth's audio track
to you UA-25 as its audio output
I would suggest reading in the manual and following the tutorials included in the manual to get yourself familier with how this is all done.