1) Make sure your drivers are properly installed
2) Make sure you have the mic hooked up and windows is recognizing it BEFORE you open Sonar (eg: don't plug it in AFTER you have opened Sonar)
3) After plugging it in wait a minute before opening Sonar then inside Sonar go to Edit > Preferences > Audio - Devices and see if it shows up in the list. If so select it. If you cannot select it deselect any other selected devices which should make it so you can select the mic.
4) Go to your input track and select the mic as your input.
Note: I am not familiar with the device. It may require the device's own software to be open to make it accessible to other programs.
Try that and get back to us.
Welcome to the forum.
PS: You should get a proper audio interface with an ASIO driver but a USB mic should show up in Sonar if installed correctly.