Sonar 8 Producer issues with Steinberg UR 22 interface

Hi,
I am VERY new to PC recording and know very little - I am using windows XP SP3 and I have a Steinberg Interface that says Sonar 8 is compatible but I am having problems. First thing, I have a Micro Korg that I have set up as my midi controller and I have that working fine - The biggest issue is all the sound is coming from my computer speakers and not my powered monitors. I tried setting the UR 22 as the input and output for midi but it keeps reverting to some generic micrsoft wavetable or something like that. I read everything there is to read and I can't get sound from my monitors unless it is from a microphone or guitar or any other non midi device - Are there driver updates to Sonar 8 that I am missing - What am I doing wrong, if anything?
Thanks
Joe