I just got a Tascam US-2x2 USB audio interface, but I suppose what I'm asking is applicable to any generic USB audio interface.
 
First off, Sonar Platinum, desktop Windows 10, quad core 3.2GHz.  I got this PC a few months back and the lag the crappy stock sound card gave me was killing me.  Hence the US-2x2 purchase.  I installed the latest drives, and also installed the "mixer" software.  There wasn't any explanation of what this software is, and honestly, it looks like another driver.  So I'm a little confused about that...
 
Anyway, I've got the unit so that all audio is outputted through it, and I can also record audio.  But I don't think I have it configured properly.
 
For one thing, there's still a minute (MY-NOOT!) lag.  Small but noticeable.  I've lowed the buffer to 64 samples from the driver, lowered the buffers in playback queue to 8 (it doesn't do well if I go lower) and lowered the buffer to 10 ms/480 samples in the Mixing Latency.  I don't think I can do anything else to lower the lag.
 
Oh yeah, I also still have to use MME, which is probably where the real issue is.  The options from my driver mode drop-down are WDM/KS, WASAPI, ASIO, and MME.  Only MME works.
 
This is my first experience with a "real" audio interface; my previous PCs had high-end soundblaster cards, and they usually got me by ok.  But I'm sure there's a lot I don't know about audio drivers and how to properly run an audio card.  I've done searches here and on the Internet but couldn't find any tutorials or how-to's.  I'm not suggesting someone post one here, but a few pointers would probably help me out.  Thanks ahead of time...!

These are my 2 most recommended, and yes, they could be easier to find.
 
http://www.cakewalk.com/Support/Knowledge-Base/2007013376/Windows-Optimization-Guide
 
http://www.cakewalk.com/Support/Knowledge-Base/2007013182/Im-getting-a-delay-or-latency-when-recording-or-performing-synths

Thanks telecharge.  There were a few tips in those links I didn't know.
 
I guess what I'm really trying to do is use the interface in ASIO mode.  When I change to that mode, Sonar either hangs, or I get a message from Windows saying that ASIO is in use.  I guess it's telling me that it's already in use and I can't use it in Sonar since Sonar stops playing any sound and recording any sound (that is, if it doesn't hang and is still functional).
 
The thing is, ASIO is NOT in use...there are no other applications open.  After I switch to ASIO, when I look at my devices, there's nothing there.  I don't mean there's nothing selected; I mean there's nothing there at all, in both input and output drivers.  Also, in Driver Settings, there's nothing available in the Playback Timing Master and Record Timing Master drop-downs.

One more checklist 
 
Sonar Audio Checklist
 
http://page.cakewalk.com/...pZMnFRcHM0WXlsdk9BPSJ9
 

I have an Interface

• Close SONAR
• Install your audio driver or update your audio driver by going to the manufacturer's website
• Reboot your computer
• Open SONAR
• Go to Edit > Preferences > Audio > Playback and Recording > Driver Mode
  • Change Driver Mode to ASIO
• Go to Edit > Preferences > Audio > Driver Settings
  • Set Playback Timing Master to your audio interface
  • Set Record Timing Master to your audio interface
• Click Apply
• Click Close

You may want to contact Tascam support.
 
This is from the release notes for the driver:
 
Windows Driver
V1.02 Changes

When having both an ASIO Application such as a DAW and a WDM Application open at the same time,
changing the active audio between ASIO and DAW could cause the driver to stop working and produce no
audio input or output. This required a reboot of the computer to recover. This problem with the driver
dropping into this latch-up state has been fixed.

With the V1.02 Driver, the following steps are required to achieve reliable switching between ASIO
Applications (DAW Software) and WDM Applications.

[When switching from ASIO Application (DAW Software) to a WDM Application]
By closing the ASIO application (DAW Software), the WDM Application will be able to pass audio in and
out.

MEMO: If the DAW Software has such a setting like “Release ASIO when in the background”, or
“Share Drivers With Other Programs”, enable this and it will be possible to switch to a WDM
Application and have it pass audio in and out by making its main window active and without
quitting the DAW Software

[When switching from a WDM Application to an ASIO Application (DAW Software)
By quitting the WDM Application and restarting the ASIO Application, the ASIO Application will be able
to pass audio in and out.

Note that after quitting the WDM Application, additional steps as described below may be required in
the DAW Software to re-enable audio in and out without restarting the DAW software completely.
① Sonar LE
<Edit> Menu ⇒ Settings ⇒ Audio Device selection screen, select a different ASIO device,
press APPLY, and then reselect the US-2x2/US 4x4 and press APPLY again.

 I use the 2x2 and it works fine. However, I recommend the following...
 
1. Make sure you update the firmware.
2. I'm not a fan of the Mixer software. I don't use it; the driver installs the needed applet. So, uninstall it.
3. Re-start the computer with the 2x2 disconnected, then connect it. Wait a little bit, then open SONAR.
4. When you open SONAR, set the preferences for the ASIO drivers, then open up the ASIO panel and verify that you have the correct drivers, firmware rev, and sample buffers. 
 
Hopefully that will take care of things.
 
 

This might be obvious but have you installed the latest manufacturer supplied drivers?
http://tascam.com/product/us-2x2/downloads/
 
If you don't install the drivers you will not be able to use ASIO mode. 

It looks like the Cakewalk Community has done it again!
 
I read and re-read everything everyone posted here...there were things I already tried as well as things I wasn't sure could help but tried anyway.  I followed Craig's steps including uninstalling the mixer.  After following the steps didn't work, I decide to uninstall and reinstall the driver.  I then followed Craig's steps again and to my surprise, Sonar came up...with ASIO mode defaulted and everything working! 
 
Uninstalling and reinstalling the driver was probably key, but I needed the guidance from the Cakewalk Community to get me there.  Thanks everyone!

Glad you got it working . BTW, I think you're going to enjoy the mic preamps, they're excellent.