I took a 90 degree turn with this whole issue.  I finally decided to upgrade to Windows 10 with a clean install.  The two EastWest applications are being installed last which is what I am in the midst of.  Hopefully, the end result will work out right.  Thanks to all of you who responded to this post.  The Cakewalk forum is an excellent place to check out the latest issues.

Well, mine ended up at: c:\program files\cakewalk\vstplugins\play_VST_x64.dll
 
I would suggest you locate it in your system, and then just make sure that path is included in the search path in Sonar's Plugin Manager, and all should be golden.
 
Bob Bone
 

Not to be snarky but I suggest you read each page of the install dialog boxes and (ahem) understand what they are saying (like file locations) instead of just blindly taking the defaults.

When something like this happens just run the installer again and look at where it is going to install...then navigate to that location and look for the files...I think I remember mine being installed in Programs/EW/Common or similar.
 
 
If the files are there add the path to the VST search, if not then you've installed them in a non-default location.

I bought the Eastwest Hollywood Strings Gold library that included the Play 5.0.5 sample player. The problem is that my DAW program (Cakewalk Sonar 8.5) does not recognize and find the dll file, and the Play 5.0.5 does not appear on the vst list.
 
I installed the dll file in the same folder where I installed my other vst. I also re-scan vst-list in Sonar but the file can not be found. Then I uninstalled the 5.0.5 version and installed PLAY v4.3.3 version and re-scan the vst-list.
Now Play 4.3.3 appears on the vst-list but when i try to start it in DAW, Sonar crash to desktop and message "fatal error has occured in plugin play_VST". Is there any solution to how to fix this? I have not had any such problems with other vst's. I have Win 8.1 64 bit.

Shambler
When something like this happens just run the installer again and look at where it is going to install...then navigate to that location and look for the files...I think I remember mine being installed in Programs/EW/Common or similar.
 
 
If the files are there add the path to the VST search, if not then you've installed them in a non-default location.

This is the easiest way to find it. 

Multispinks
I bought the Eastwest Hollywood Strings Gold library that included the Play 5.0.5 sample player. The problem is that my DAW program (Cakewalk Sonar 8.5) does not recognize and find the dll file, and the Play 5.0.5 does not appear on the vst list.
 
I installed the dll file in the same folder where I installed my other vst. I also re-scan vst-list in Sonar but the file can not be found. Then I uninstalled the 5.0.5 version and installed PLAY v4.3.3 version and re-scan the vst-list.
Now Play 4.3.3 appears on the vst-list but when i try to start it in DAW, Sonar crash to desktop and message "fatal error has occured in plugin play_VST". Is there any solution to how to fix this? I have not had any such problems with other vst's. I have Win 8.1 64 bit.

This is one of the pitfalls of holding on to "Legacy" DAW's.  They don't support the most
recent plugin formats, and, consequently, will crap out when trying to load them