Ideally you'll have a dedicated audio interface for SONAR, and let multimedia stuff like SONAR Explained use your onboard sound. A lot of folks seem to think you need to disable onboard sound, but I like to leave it active for precisely this scenario, and make it the Default Device for Windows audio so it keeps its mitts off my audio interface.
If you really want two audio apps to use your dedicated audio interface at the same time, at the very least you'll need to make sure they're set to the same sample rate, and check the box in SONAR's audio preferences to "Share drivers with other programs".