Hi, 
I just bought Sonar Professional, which might not be the best choice for live performance, but I'd like to use it for playing VSTs live.
I want to load a few different VST instruments into Sonar and switch between them using midi program change messages(important: program change, not changing midi channel on the controller). Is it even possible, and if so, how to do it?
Thanks for any help.

I don't know that a program change approach would work for selecting between different VST instruments in Sonar.  (maybe someone else will chime in on that).  I use program change rarely anymore in Sonar, but used to use it when changing a preset to another, but always on a single instrument.
 
For live performance, I actually use a purpose-built piece of software called Forte, from a company called Brainspawn.  It allows me to load up a bunch (20-30 or more) separate soft synths, or audio inputs (vocal mic or guitar), then layer up a sound using any combination and midi routing of any of the loaded synths (muting the ones not needed for a given sound), and then I can create snapshots of each layered or solo sound.  I can then switch back and forth from each one, using either program change triggers from a midi keyboard or controller, or by using a mouse, or foot switch.  Further, I can tell it to NOT change out samples once they are loaded, and that makes switching between sample-based synths instantaneous.  Also, synths that are muted are swapped out of memory, if needed.
 
Anyways, that's what I have used now for close to 10 years, and it is FABULOUS.  I DEARLY love Sonar, and have used it for well over 20 years, but it is really designed as recording software, and is a bit clunky for use live, due to time needed to switch between sounds and all that.  It also uses a bunch more memory than the Forte program, and since all I need is to be able to access sounds for VST note triggering, all of whatever else is loaded into memory for Sonar is really not needed, and makes my computer work harder than needed for live performance.
 
Bob Bone
 

This is not exactly what you asked, but you can certainly change loaded instrument sounds within one VSTi, if the VSTi allows it.   In Kontakt, for instance, I use "Instrument Banks" which have up to 127 instruments ready to play.   So you can load up to 16 channels per VST instance with up to 127 instruments each channel, and then control which instrument will actually be sounding at any point with a program change message sent on the active channel.       No delay at all in changing instrument (I use midi, so often there will be several program changes happening all at once, on different midi tracks).