I get no sound from any other audio app or program when Sonar is running.  Is that normal, or have I missed a setting somewhere?

I'm at my day job, so not in front of Sonar.
From memory under "preferences, audio devices, Share drivers with other programs" 

Perfect, thanks!  And your memory was close.  For future reference for others, the path is:
Preferences > Audio > Playback and Recording > Share drivers with other programs.

It depends on the make of interface, btw you have not specified yours. Edirol, Roland, Focusrite go usually fine, heard "taking over" is common to Tascam users. Check if you are using latest Windows drivers.

Afrodrum
It depends on the make of interface, btw you have not specified yours. Edirol, Roland, Focusrite go usually fine, heard "taking over" is common to Tascam users. Check if you are using latest Windows drivers.

It's in my sig, perhaps?
Question was already answered anyway. :)

Also remember that ASIO is not multi-client, but the native Windows drivers are.

ASIO driver allows several programs to use the audio device. of course the program has to be able to use ASIO so that cuts out Windows itself and programs like Media player.

I've had Sound Forge 11, Sonar Platinum and Vegas all play audio simultaneously through the one audio device.

This is the kicker. You have to disable "Share drivers with other programs" as that causes only the "in focus" app to be able to access the driver. Seems counter intuitive but that's the way it works. Give it a try.