I will respectfully disagree a little with my colleagues here.
plugging a mic into this compressor will, IMO, likely cause noise and distortion after sending the output of the compressor to the input of the m-audio.
the reason is because the input to the Behringer MDX1600 is either +4dBu or -10dBV, both of which describe LINE level inputs (either consumer or pro audio). The microphone level is very low comparatively.
from Sweetwater definition of Mic Level:
The level (or voltage) of signal generated by a microphone. Typically around 2 millivolts. Compare this with the two normal line levels (1.23 volts and .316 volts), and it becomes apparent just how much amplification is going on in a microphone preamp, and why it is essential that preamps be of as high quality as possible!
So the output of the microphone is so small compared to the input level expected on the compressor that the result will likely cause noise/hiss or distortion to be added to the signal. So I never use a compressor BEFORE the preamp since the output of the preamp is LINE level and is designed to be sent to the compressor.
All this to say this is only a consideration for dynamic mics anyway. A condenser mic won't even work at all if you plug it directly into the compressor because the compressor does not have phantom power available on it and the preamp will not send phantom power THRU the compressor to the mic.
you could use an external phantom power device to power the mic BEFORE the compressor if you want, but that adds another expense of buying the phantom power supply and you still will have the problem of having a MIC level signal being input into the compressor expecting a LINE level signal.
I would not recommend plugging the mic directly into the compressor at all. I'm sure there are people who have more experience and knowledge than me who would disagree with me, but my recommendation still stands.
the use of the INSERTS on the m-audio would be something you could do. you would simply connect the compressor inputs and outputs to the appropriate send/receive I/O on the m-audio.
the only problem with that would be figuring out the routing in the m-audio software, as Fireberd said, but it is do-able.
however, I would still just leave the compressor out of the loop completely in your case and add compression in sonar after the fact. just keep an eye on your levels and make sure you don't record too hot or you'll have to re-record because compression won't fix digital overs.
if you want to use the compressor in a traditional gain staged scenerio, you'd need to purchase an external standalone preamp to plug the mic into, then to the compressor, then to a LINE input on the m-audio. that would be the ideal way to connect it.