I got it working tho sometimes it quits and I have to close things down and start over.
I'll figure that one out later.
The main thing is it does work at least.
Now back to that delay. It's the same as before.
Play a note on the guitar (or for that matter, click the Dropzone keyboard), and there is a delay from the computer speakers.
About the time it takes to say "What-the" but very noticeable.
Obviously I can record something the first time around if I don't monitor but I'd never be able to listen to the Soft synth (Dropzone) sounds for tracking or play along for overdubs.
Does this mean trying to use the BR800 as a controller/sound card or is that not likely to be faster?
The main thing with the BR800 is that it has no 5 pin MIDI in or out (only USB for controlling Sonar) so I have no idea how to hook that up for midi input from the GR20.
Wouldn't I need to go from GR20 to BR800 to Sonar?

I want to thank all who chipped in to help me here.
Update. Using BR800 as the Soundcard
Running midi from the GR20 (via MIDISPORT 1x1) to Sonar and back to the BR800 (Via USB2) for the monitoring has less delay and sounds better than thru the sound card but, due to the amount of delay, is still not usable for tracking much less overdubbing real-time.

I'm returning the El Cheapo MIDISPORT 1x1 device and getting a better unit for one last attempt at being able to use my Guitar for input on this computer.
My assumption here is that inputting MIDI thru any instrument that you are not able play real-time with subtle expression, becomes a process of input and tweak that I imagine to be so laborious and slow that it would not be worth the trouble. (IOW for me, playing is much preferred over editing)
This may be just my lack of knowledge of that process and I would be please to hear otherwise.
Thanks again all, and Happy new year.