All your VST's (.dll) should be (ideally) on one drive, otherwise you'll have to let Sonar's scanner know exactly where you're installing them......being on different drives might also cause issues in trying to run a particular VST.
Your samples should be on a seperate HDD.
This is how my setup is and it works really well as I have these 3 drives installed in my new PC:
C: OS/All Software Programs on SSD
D: Sonar Projects (1 TB HDD)
E: Synth Samples (3TB HDD)
All my VST's are installed on my C:Program Files\Cakewalk\VST\ (and some subfolders)
After you let Sonar's plugin scanner (Plugin Mgr.) know where all your VST's are, Sonar should recoginze them.......but it's advisable to keep all your VST's on one drive (so you won't confuse yourself).