You have to have Sonar rescan your VST's.
Then go in to Plugin Manager and add it to your plugin list and save the changes.
If it's not in the list when you go in to the Plugin Manager you will have to add the folder SFZ + was installed to, to the list of folders the VST Scanner looks in, then do another scan.
Hope that helps.
By the way ... I use SFZ+ with Sound Fonts ... if you've never used it before it's a little tricky to get going. You have to change the 'Mode' settings to PR32 otherwise you get a 'Not enough memory error'.
The dark gray bar at the bottom of the SFZ + window is a piano keyboard but the graphics aren't there. You can test the sound of your SF2 files by clicking on the gray bar
Good luck.