The only way I seem to be able to use it is if I go into the windows audio settings and use VRM box as default, and then choose VRM in Sonar.  Problem arises though in that the VRM can only listen to 44100 sample rate.  Does anyone use the VRM for mixing or recording?  If so, how do you have it set up?

I have VRM built into my interface and do not use it much (only mixing). I am assuming there is enough look ahead with it that it would be unusable while tracking/recording, but am not sure about this (nor see a reason to).
 
Check out this thread by Beepster which seems to go through the setup.
 
There were also quite a few thread hits with this google search in case the above doesn't answer things for you.

I use the VRM often - but only in a mixing mode - not while tracking / recording.

I find it helps my mix judgement.

According to the specs, it can operate at 44.1 and 48khz.  The user manual shows how to set it up.  Have you looked at that?
 
I use the VRM box, but only for the virtual reference software while mixing.  It's connected to my main audio interface through s/pdif, and works fine that way.
 
Make sure you have the latest software version which is v1.4.