I can't give you a step by step, because I don't know myself. I set up mine years ago and haven't had to mess with it. Having said that...
Since you are on Windows 10, it is likely the drivers that came with your Focusrite are not the latest (for Windows 10). I suggest going to their site and making sure you download the latest. I do not use Focusrite so I don't know the status but I would download new drivers them even if they were in beta (I.E. not released yet).
Once the latest drivers are installed, verify that the tools that come with your interface can communicate with the interface. If they can't, it is likely Sonar can't either. Troubleshoot that first. You might need to call Focusrite and/or visit their forums.
Once all that is squared away, open Sonar. Close the splash (or start screen) and go to Edit->preferences. The first item in the dialog (on the left hand side) says Devices. There should be a list of Input and Output devices. You should see inputs and outputs listed for your Focusrite device. Check the ones you will be using (I.E. Analog in 1, etc...).
I could be doing this out of order but on Playback and Recording, select ASIO (I assume Focusrite supplies an ASIO driver).
I think if you get this far, you are just about there apart from other customization you want to do.
If you are new to Sonar, please go to the CakeTV part of the Cakewalk website (Home page->Community->CakeTV. Start watching some of the beginner videos. They help.
Post back here to let us know how you are getting along. There are many helpful people here who know a lot more than myself.
Good luck!