Sorry for the tech speak, still having a bit of a hangover from retirement..
What I should have said:
In Windows, go to Control Panel
Open Device Manager
look under Sound, Video and Gaming controllers
Your controller needs to show up there.
If it does not, the problem is not with Sonar(Could be cable, bad controller, bad port, no Windows driver, etc.)
Get it to show up there, and Sonar should then see it