If Sonar is not on, it can't detect the audio device you are using, however, I've never see that message before. I receie a message box that tells me that "No audio or midi device were found".
So that I don't receive that problem, I know have two
Furman Power Conditioners that the computer and my audio device is plugged into as well as other outboard gear , so when I turn on the furmans, The PC turns on, the Audio device and everything else plugged into them are on. When I turn on Sonar Platinum, everything is already up and running so I don't receive that message any longer.
What's the name of your Audio Device and what version of Sonar are you using?
Tp show the picture, the image has to be posted on a public domain and then you can link the URL with the Insert /Edit image tool. Photobucket is what I use at times.