at2020 usb not found in sonar

SOnar doesn't like USB mikes in general. They are a big waste of money if you can't use them with a standard XLR cable.. Podcasting is about it. Not any use for professional recording because as you see they don't use ASIO drivers. 
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If you have an audio interface that is using ASIO you'll need to un check it's boxes. 
There can only be 1 ASIO device at a time. 
You can try setting Sonar to WDK mode but watch out for timing offset issues. The overdub from the mike will probably need to be nudged to line up. 
 

I don't have the device maybe Craig can add which driver mode he is using.
 
The driver mode is set in SONAR Preferences > Audio > Playback and Recording. You can't hurt anything by trying them all. Unlike some applications SONAR supports a variety of ways to connect to hardware but that means it falls down to the user to figure out which one works best.

1) Make sure your drivers are properly installed
 
2) Make sure you have the mic hooked up and windows is recognizing it BEFORE you open Sonar (eg: don't plug it in AFTER you have opened Sonar)
 
3) After plugging it in wait a minute before opening Sonar then inside Sonar go to Edit > Preferences > Audio - Devices and see if it shows up in the list. If so select it. If you cannot select it deselect any other selected devices which should make it so you can select the mic.
 
4) Go to your input track and select the mic as your input.
 
Note: I am not familiar with the device. It may require the device's own software to be open to make it accessible to other programs.
 
Try that and get back to us.
 
Welcome to the forum.
 
PS: You should get a proper audio interface with an ASIO driver but a USB mic should show up in Sonar if installed correctly.