Well, there's not a lot of love for USB mikes among people who have tried them and failed.
In a way they are a waist of the money you could have spent on a audio interface and a real mike set up. USB mikes cannot be used for anything much other than pod casting.
The bottom line is, without proper drivers these things are at the mercy of Windows audio drivers, sometimes called Legacy Drivers. So they will work with some apps.
I have no clue why they would include Sonar with it as Sonar is not very happy to use those kind of drivers, Sonar likes to see ASIO drivers or WDM.
But Audacity will work fine with those drivers. Download Audacity or Reaper and see what happens.
The other work around would be ASIO4all.
As far as installing Software from a CD or DVD into a Device without a drive. Either buy a external drive for $20 or make an ISO image of the disk, copy it to a flash drive and mount it with Virtual Clone drive or any Virtual Drive, they are free.