Hi Suzzi,
You can apply for Canadian visa eventhough you are still with your sponsor. There are many factors that come into play. Are you applying for visit or to study? Which ever one you are applying for, you need an invitation letter from Canada. A friend or close relative can invite you to visit Canada. On the other hand, a learning institution can invite you for studies. When you get any of the invitation letter, go to CIC website, download and fill a form for visa application. There are other couple forms you will fill from CIC website depending on your situation. Take all these forms and travel to Abudhabi and submit your application to VFS Global (Agents incharge of collecting visa applications on-behalf of Canadian Embassy). You need to submit your biometric (this also depend on your situation) to VFS Global and pay your visa fee in cash (apprx. $180) to them. You may require a Police Certificate and Medical examination from Qatar depending on your situation.
Your sponsor can give you exit permit to visit Abudhabi and come back. Visa approval usually takes 4 to 8 weeks or more depending on a lot of factors. When your visa is approved, you can then resign from your present work and leave. I hope the above helps? You can write me for more advice.