I do not believe the computer is the issue. I would suspect the device you are using as an audio interface. Does it have an ASIO driver? If so that would be a better choice than direct. If not, you could try ASIO4ALL. Many have reported good results with it where an ASIO driver is not available.

I just looked up the BR-800 on the Roland site. The v1.0.0 driver, the only one I found for XP, supports both WDM and ASIO. What recording mode are you using in SONAR? Another thing, it may be that MIDI Guitar does not like USB1.1 devices but I cannot say for sure. You would need to contact the devs about that.

I also would look at the audio card.  My MOTU 828mk2 hybrid audio card works great with Jam Origin Midi Guitar; I can get the sample buffers down to 128 which MG reports as having a latency of 2.9ms.  I have been having fun using MG to trigger Omnisphere and Alchemy as well as Kontakt instruments in Sonar.
 
For some reason I have never gotten MG to work in its DAW mode as a vst within Sonar like Scook has, but I did find a workaround that works for me.  This is my convoluted way of using MG with Sonar X2a:

1. I install "loopmidi", and set up one instance of loopmidi, which gives one virtual midi input and one virtual midi output track. 
2. In Sonar's Preferences activate/select loopmidi for active in both midi input and midi outputs. 
3.  Next, run Jam Origin Midi Guitar in STANDALONE MODE only outside of Sonar. Do not insert this as a vst instrument within Sonar itself. 
4.  Next, within Sonar, insert a different vst instrument --whatever vst softsynth you want to play like Alchemy for example. 
5.  On this softsynth (Alchmey's for example), select "loopmidi" within its midi input track within Sonar.  Choose omni as the channel. 
6.  Arm and record the  midi from the soft synth's own midi input track (Alchemy in my case). 

This is an odd workaround for my system which never got Jam Origin Midi Guitar to output midi as a synth vst within Sonar.  HOWEVER, by running Jam Origin as a Standalone along side of (in addition to) my Sonar X2a it works fine to trigger and record softsynths within Sonar.  Hopefully most Sonar users will not need to do this, but it is a workaround in case  MG does not work in DAW mode within Sonar.
 
I am actually very pleased with the progress that has been made with MG in the last month.  It is triggering softsynths well with only a few ghost notes or false triggers.  I have used it with several guitars and it does work better on some than on others; it likes my gibson PAF more than my strat.  My experience is that with my setup and audio card, MG triggers softsynths at least as well as Roland or Axon triggers softsynths; however, both Roland's GR55 and Axon's AX100mkii probably do track their internal sounds a tad better than MG does triggering softsynths [[EDIT:  I really like both Roland and Axon midi guitar products, but not for triggering softsynths, and yes I know that Cakewalk is a Roland product--which I respect and I do buy Roland products.  Just this MG software is amazing for what it offers for the masses.  End of edit]] .  Like I said above, I now use MG as my default midi guitar input software for triggering softsynths.  The progress is amazing and there is no need for a special midi pickup; just use a normal electric guitar.
 
To the OP, I hope you get it working with Sonar.  You might want to peruse the long thread over on the KVR forum where the developer does monitor and occasionally posts: http://www.kvraudio.com/forum/viewtopic.php?t=359095&postdays=0&postorder=asc&start=840
 

I have a GR 50 which I'm not sure which would be older or newer than a GR 20,,, It will interface to a modern computer fine, but with a lot of latency if you try and input midi data. You can't nudge it into time because the latency varies from real bad on low notes to OK on hi notes. The sound quality of the rack mount synth is not much better than a MS wavetable,  but because of the non midi direct connection there is very little latency while playing it through the hardware, But forget using the midi ports,, not worth the bother. 
 
Fishman just put out a new guitar PU called the Triple play which is reported as having the best performance ever. It uses a wireless to USB system so looks very appealing.
 
http://www.sweetwater.com/store/detail/TriplePlayPU
 

Skook, I'm using ASIO in sonar, but at this point, if running MG as a stand alone, it is not accessing sonar so I'm still confused.
I'll need to take it one step at a time with no assumptions made that I might know about midi.
1. Do I run MG first?
2. What setups does it need?
3. Is it important not to have latency at this point?
4. Do I download and install this Loopmidi or other into sonar as a vst?
Of course I would need the BR800 as an interface as it's the only place to plug in a guitar.
Thanks for all the help.
 
Cecilious, my BR800 has been very good about latency so far so abandoning it for another interface seems hasty for me at this point, but nice to know yours works fine.
 
Cactus, the GR20  is older than the GR55 .
I agree the latency of the GR20 was too much for midi too, so I used it for audio instead. 

The first thing is to get the standalone version of MIDI Guitar running well because it sounds like the VST mode may not be viable.  Low latency in the standalone mode is critical.
 
Virtual cable software is not plug-in it is driver software that runs in the background of the PC. To MIDI Guitar and SONAR, the virtual cable will appear as a MIDI interface. When you are ready to attempt connecting MIDI Guitar to SONAR, you will need to have both applications running (which starts first does not matter). Configure MIDI Guitar's MIDI Output to the virtual MIDI cable. Configure SONAR MIDI Preferences to use the virtual cable as MIDI input. Then create a synth track in SONAR like you usually would and set the track input to the virtual cable.

I am using AISO for device and the BR800 for device type
I was able to install the VST list and play them (still outside Sonar) but
I ran out of options for latency.
It's close, maybe even usable, but there is an alert that says there will be latency but the buffer dropdown has no other options than the 432 samples it has in the window.
I do remember it had more previously.
The sample rate also has only the one 44.1Khz
Does this mean my BR800 does not support the lower samples?

According to this http://www.bossus.com/gear/productdetails.php?ProductId=1068 the sample rate is fixed at 44.1

Ok, thanks for that spec sheet link.
It doesn't mention buffers which is also limited to the one 432 rate (but too high).
Are the buffers set by the BR800 or the computer?

There may be one setting unless there is software that comes with the BR-800 to adjust it.