I am running Sonar 7.0.2 on Vista 32-bit. I installed the KX-drivers, but Sonar can not use them for audio playback. I got this error message (see screenshot): The following driver(s) either do not supper the current audio format, or are in use by another application. Already tried a lot but nothing seems to help. Midi playback works fine.

link: http://i50.tinypic.com/103ifrk.png

in Windows XP everything works fine

I'd never heard of those drivers. It must be like ASIO4 all,  a generic driver to use with an on board sound card. 
Sonar does not get along with this kind of stuff, It hates Sound Blasters cards the most . You really need to purchase a proper audio interface to use Sonar ( or any DAW) to it's full potential. 

Managed to get it work: Needed to set the driver mode to MME instead of WDM.

UPDATE: Strange. Under XP I can run in WDM driver mode. Under Vista this is not possible, I am forced to use the inferior MME drivers.

What about the ASIO drivers? 

Dave, He's using on board card.. KX drivers seem to be another WDM wrapper like asio4all. 

OP you really need an audio interface to run $400 software. 
 On board sound cards are for gaming and beeps and farts.
There are a zillion posts here about this topic. It is rare that you can do any work in Sonar with a on board card.  
Try at least using asio4all, I doubt if those KX drivers have been updated to Vista or W7. 

You will have to use MME drivers as that is what works best with on board cards. 

Well, the card I use is a Sound-blaster Live. The heart of it is the legendary Emu10k1 chip. Which can also be found in E-MU sound-modules.

I considered using ASIO4ALL drivers, however I do not know whether that will give me access to the option to load sound-fonts (.sf2 files).

Would it have something to do with the following advanced Vista sound properties
- Allow applications to take exclusive control of this device
- Give exclusive mode applications priority

Are the KX drivers the drivers for the SoundBlaster card? If so, go to the Creative site and get the latest version for your Operating System. After you install them, try using WDM mode in Sonar. Run the Wave Profiler to set it up. As others will tell you, SoundBlasters are not the soundcard of choice for pro audio. Creative has good marketing, but lousy products. 

They actually lie as in big print on the box it say's ASIO drivers but Sonar will only use the WDM mode, If you switch to ASIO Sonar will tell you there is no audio device available. It don't matter what chip is in there, It's the drivers that make or break any audio interface

I have the Sound Blaster Audigy II which was $300 back in 2002. A "computer" tech sold it to me telling me they were the best. It is the main reason I wasted 4 years trying to make Cakewalk work and it never did. You want proof go back and look at my postings from 2004 for Home Studio. It works fine with Wavelab and watching movies, but not with any version of cake. 

To bad as I like everything else about it as a card. But don;t waste your time thinking it will work with Cakewalk in anything but MME mode.