Could you provide your Sonar (?) and Windows versions ?
I'm running X2a and my files are like chad mentioned above.
There are some DSF samples in my Dimension Pro Multisamples folder but they're not relevant here.
The .prog files for SI-Bass are in C:\ProgramData\Cakewalk\Studio Instruments\SI-Bass Guitar\Progams
The .sfz files are in C:\Program Files (x86)\Cakewalk\Studio Instruments\SI-Bass Guitar\Multisamples
Oddly, the .prog files contain, taking the Compressed Jazz.prog for example,
C : \ D o c u m e n t s a n d S e t t i n g s \ A l l U s e r s \ A p p l i c a t i o n D a t a \ C a k e w a l k \ S t u d i o I n s t r u m e n t s \ S I - B a s s G u i t a r \ P r o g r a m s \ C o m p r e s s e d J a z z . p r o g
C : \ P r o g r a m F i l e s \ C a k e w a l k \ S t u d i o I n s t r u m e n t s \ S I - B a s s G u i t a r \ M u l t i s a m p l e s \ D i g i t a l S o u n d F a c t o r y B a s s e s \ F i n g e r B a s s . s f z
I don't have a DigitalSoundFactoryBasses folder.
However, it works, so there's some fancy footwork being done behind the scenes, probably during the install.
How did your install go ?