The current set-up is:
1: Am using the Tyros as a controller. Have switched off the internal clock
2: In Sonar, input is shown as being the Tyros. Output is through Microsoft GS Wavetable Synth (I tried using the Edirol, but could hear nothing)
3: Track settings show Midi Channel 1, then whatever instrument voice I choose
The delay is still there. Am tearing my hair out trying to get this to work. Any further advice would be hugely appreciated. If I can master this, I can avoid the need for a new music keyboard, which I can't afford anyway (my Tyros is working perfectly, but I am bored with using the same sounds all the time).
Thankyou to everyone.

musicmarkck
The current set-up is:
1: Am using the Tyros as a controller. Have switched off the internal clock
2: In Sonar, input is shown as being the Tyros. Output is through Microsoft GS Wavetable Synth (I tried using the Edirol, but could hear nothing)
3: Track settings show Midi Channel 1, then whatever instrument voice I choose
The delay is still there. Am tearing my hair out trying to get this to work. Any further advice would be hugely appreciated. If I can master this, I can avoid the need for a new music keyboard, which I can't afford anyway (my Tyros is working perfectly, but I am bored with using the same sounds all the time).
Thankyou to everyone.

You heard nothing through Edirol as an output because midi is data and that data wasn't driving anything.
Use the Edirol as your output, insert a softsynth into Sonar, Tyros as the input and done.

I suspect that my lack of knowledge and understanding of midi is not helping.
I have set Edirol as the output, disconnected the Tyros audio from the Edirol, and inserted a soft synth... for this example, Roland Groovesynth. Then I choose a voice - but the results are a looped version of the voice. Thing is, I can only hear this if I choose the soft synth itself as the output (within the ProChannel screen in Sonar). If this is set to Edirol, I hear nothing. The Arpeggiator within the ProChannel is switched off, as is the Input Echo.
I am totally baffled (and the fact that the Tyros keeps losing the midi settings I have selected is not helping).

Insert TTS-1 as a softsynth and turn on Input Echo on that track.

https://www.youtube.com/watch?v=w7YvO-LXXts
 

Done that, but the notes are still repeating, and the sound is horribly distorted. ???

Have tried everything, but without any joy. If anyone has any further ideas, I will gladly accept them. And thanks to those who have helped so far... very much appreciated.

What's your Edirol connected to ?  What do you mean when you say you "could hear nothing" when using the Edirol.  Are monitors hooked up to it, or headphones ?  If so, there's no reason it shouldn't work.
 
 

The Edirol is indeed hooked up to speakers. Yet when I select is as the output, I hear nothing. Believe me, this is driving me insane! 
Would I be better off buying a dedicated MIDI lead? And maybe a MIDI controller keyboard? This set-up certainly isn't working.

 
I'm sure everything is fine and you just have to set things up properly within Sonar.
 
Have you installed the latest ASIO driver for your Edirol ?
 
In Preferences/Audio/Devices, is "Output Drivers" set to your Edirol ?
(and Preferences/MIDI/Inputs set to your keyboard, but I believe it is already).
 
In Preferences/Audio/Playback and Recording, is "Driver Mode" set to ASIO ?
 
In Preferences/Audio/Driver Settings, "Playback Timing Master" set to your Edirol ?
What is "Sampling Rate" set to ?
What is your "Effective latency at [sampling rate]" ?
 
Screen shots of your different Audio preference pages would be useful for us to catch anything out of the ordinary.
 
With ASIO, your Windows can't also use your Edirol for sound output.  Set Windows to use internal audio if you have it, or maybe the nvidia if that outputs to something useful.