Go to Options-Project-Metronome. Here you can select it to play on recording or playback, select PC speaker (internal 2.5" speaker inside your PC) or MIDI note (sends a MIDI click by default to channel 10 of your first MIDI port selected, and is defaulted to work with General MIDI keyboards), and a few other options.

Cakewalk Pro Audio or Sonar cannot produce a click through your audio outputs unless you have a MIDI keyboard attached.