You do have a midi in/out on your soundcard - it is right there on the back.  I don't know if the Yamaha has midi jacks built in or just does it over USB.  Midi, of course, is just computer control language for telling a synth to play this note at this velocity for this long (among other things) - it is not audio just control language.  A word processing program doesn't talk or print, but allows you to arrange letters that can be printed.
 
You have stereo line inputs on the front. These are combo 1/4 inch line-level inputs and XLR Mic inputs.  They self select depending upon what you plug into the jacks.  Take 2 1/4 inch to 1/4 in balanced line cables and insert them into both the Yamaha and Edirol interface (not soundcard) front inputs.  Play the synth.  You'll have to figure out how to configure the interface so it "hears" the sound (it probably has its own software mixer that takes and input and sends it to an audio output and the USB "to computer." First make sure you can hear the signal so you know your interface is receiving it and then worry about getting it to the computer.  Once you see the interface is sending the signal to the computer, you have to configure SONAR to see and connect w/ the interface.  SONAR has a mixer, and the far right panel is for the hardware connections, which SONAR should do automatically.  Double check this - SONAR can get confused if you are using both the Edirol INTERFACE and your built-in soundcard .