How to use ASIO drivers with two or more programs at one time?

AFIK, ASIO doesn't like to share it's drivers. However, I believe there's a setting in Sonar to "Share drivers with other programs" (to that effect), but I've never done that.
 
Take a look at this: https://www.cakewalk.com/Documentation?product=SONAR%20X3&language=3&help=AudioPerformance.28.html

You can stream audio from multiple programs through an ASIO driver. The limitation is that you can only use one device with an ASIO driver u less the manufacturer writes the driver to use multiple hardware units. eg RME you can use up to 3 X FF800s hooked together and co troll them all as one it.

If you turn on Share drivers with other programs - in Sonar, what will happen is that only the program with focus n Windows will send audio. If you want multiple programs to stream audio then make sure that setting is turned off in Sonar.

Then it's just a matter of selecting the ASIO driver within the software. Remember that programs like Windows Media Player do not use ASIO drivers as its not a Windows driver model. In that case select WDM drivers. If it's for playback only you shouldn't have any problems.