If there is a USB midi option I would use that. Install the driver if it came with one as that sometimes is important to Sonar.
If not the DIN midi output of the Brain goes to your Interfaces MIDI input.
In preferances make sure the interface midi port is checked under MIDI Devices/ Input
If your not going to use the sounds from the brain on playback you do not need to use the interface midi output.
Insert a midi track and select the interface midi as the input to the track and use omni
Select AD2 as the midi track output
Activate input echo then record and have at it
There may be noticable latency if you listen to AD2 depending on your interface buffer settings and driver quality.
What I do is I only listen to the audio output of my drum brain while tracking as it has zero latency and I find I can perform better. Some people don't notice 6ms of delay but it bothers me.