Oh, my bad. (can someone move this topic?)
Anyways, I got this off of the help section:
SoundFont files contain data for patches. They are available from vendors and you can create them using the Vienna editor from Creative. To use SoundFont , you must have a Creative Labs SoundBlaster Live, AWE 32 or AWE 64 sound card and have the SoundFont Management System installed (supplied with SoundBlaster Live). When SONAR opens a WRK or MID file, it looks for a SF2 file in the same folder with the same base name. If one exists, SONAR uses it. Use the Locations button to specify folder (or folders, separate multiple folders with semicolons) where SONAR should look. Use the Attach button in the SoundFont Banks dialog box to override this behavior and specify a different SoundFont file to use with the song. Bank 0 is reserved for the Standard GM sound set, but user banks can be attached to banks 1 through 255. SONAR saves SoundFont file names in (WRK) files, but not in Standard MIDI (MID) files. In order to use an attached SoundFont, you must select you rSoundFont device as an output and assign a MIDI track to that output. You must also force an output channel for the track and choose a SoundFont bank and patch for the MIDI track.