If the Korg software is installed correctly, the Korg midi input/output options should be listed under 'Midi Devices' inside SONAR preferences! The USB cable take the place of the traditional midi in and midi out cables but rely on software drivers to do so. If this does not work, you can connect it to the midi ports of your QuadCapture, as this will not require any additional midi driver.

But it will require a pair of Midi cables...
 

llk
I have got it so far to record the sound now from the cord from the mono output of the korg but not with the usb cable how do you set it to be the midi input since it's not a midi cable?
 
But thank you so so much guys

The USB cable should as SvenArne has pointed out takes the the place of traditional MIDI cables. If the Korg is installed correctly Sonar will see it as a MIDI device just as if it was attached via MIDI cables.
 
Look in Prefs--->MIDI devices and make sure the Korg is checked as an input & output device. If you don't see it there it isn't installed correctly. Once checked it appears in the MIDI input and output port menu on a MIDI track
 
If it comes with an "INS" instrument definition you can assign it using Preferences--->MIDI--->Instruments. If it doesn't have an INS file on disk you may well find one with a web search, or you can write your own, but that's another post.
 
Audio will have to be recorded using the audio out of the Korg connected to your interface input.
 
This video on my youtube page may help.

llk
So far I was only able to control and internal synth with my keyboard 

 
That means the MIDI function of your keyboard is working correctly in SONAR. But in case, you mean something else, The video that FastBikerBoy gave you a link to should be helpful for you.
 

llk
I have got it so far to record the sound now from the cord from the mono output of the korg but not with the usb cable how do you set it to be the midi input since it's not a midi cable?

 
Since you say you already used your Korg to control a softsynth. I think SONAR already sees your Korg MIDI device.
So, in that case, use the Input Dropdown Menu on the MIDI track to select your MicroKorg XL MIDI device and the Omni Channel as the MIDI Input for the MIDI track. 
 
To record MIDI to a MIDI track, you have to arm the MIDI track by enabling the button on the MIDI track with a red dot on it, and then pressing R on your computer keyboard to start the transport in record mode for any tracks you arm for recording. Start playing your Korg and the MIDI will be recorded to the MIDI track. Hit spacebar to stop the recording. If this sounds unclear to you, it will be helpful for you to watch the video in FastBikerBoy's post #13.