After searching through nearly every thread of people that have had the same problem, I am sorry to ask this but I just cannot find a solution. Here's what has happened...
About a fortnight ago I purchased a Korg Microkey to use with my projects in Sonar, I installed it and it worked fine (it wasn't perfect because I had to use my computers soundcard, but it was definitely usable.) Next I installed my E-MU 0204, and of course I had to switch all the ins and outs to be able to work with the interface. So I was putting down some guitar and drum tracks when I realized I needed to switch back to the computer soundcard to work with the controller so I switched all the ins and outs again and the computer recognised the controller. However, whenever I would try to play it with a soft synth, it would never work. I knew that the computer and Sonar recognised it because the midi indicator lit up when I pressed a key and the 'green bars' on the midi track also light up when I press a key. It seems that for some reason, the soft synth is not recognising the controller because nothing is 'moving' in the soft synth's program screen. I know that the soft synths are working because they play when connected to the step sequencer. Here are other things I have done;
- In preferences : Midi|Devices, the controller is checked in both in and out.
- In preferences : Midi|Playback and Recording, notes and controller are checked.
- A preset is chosen in the soft synth itself. 
- In preferences : Audio|Devices, the soundcard is checked in both in and out.



Also, I don't know if this means anything, but only the left red dot of the midi indicator is lighting up when I press a key.

Sorry for the long winded post, but I tried to get as much detail in there as I could remember.

I hope you can help me with this ongoing problem.

- Jon

In Prefences midi/device uncheck the microkey controller in the output and then check the E-mu 0204 for your outputs.

I have just unchecked the output of the controller, and checked the soundcards outputs also. No luck.

The one thing I am unsure about is how to actually set up the tracks for the controller and soft synth, and this could be what I am doing wrong, so I would be very grateful if someone posts how to set them up. 

Make sure that the midi output at the bottom of the track is assigned to whatever soft synth you're using.

Ok, I should really go into more detail...
I have chosen a soft synth and have chosen a 'simple instrument track'. The input of this is the controller, and the output is the soundcard. I have also made another midi track, and the input of this is the controller and the output is the soft synth. Do I have to make an audio track as well and if so, what do the inputs and outputs have to be?

So I was putting down some guitar and drum tracks when I realized I needed to switch back to the computer soundcard to work with the controller so I switched all the ins and outs again and the computer recognised the controller.

 
the e-mu 0204 is your soundcard now. you should not have to go back and forth between soundcards from audio to midi, the e-mu should do both. disable the computer soundcard, its causing confusion.. and whatever midi track you are on, go to its track parameters on the bottom left and make sure the input is set to the microkey=omni or all inputs=omni and select the softsynth for the output.

this is the problem though.... I am having to switch back to the computer soundcard each time I need to use a soft synth because the E-MU doesn't have MIDI support i.e. no USB ports.

bottom line,you need a soundcard,one that supports what your doing,you may have corrupt a driver apon switching back and forth,it happen to me.
try looking up asio4all.
http://www.asio4all.com/
install it and use it till you can afford a good soundcard.

you can check your onboard card by running the dpc latecny check
http://www.thesycon.de/deu/latency_check.shtml

it never seems to amaze me how one spends 400+dollars on a ditital audio workstation but yet forgets the most important part,the soundcard,not the onboard card,thats for computer assigments,media player,listening to videos on the web,exc.
a soundcard is the engine.

If your controller has a USB port you can run from that to one of your computers USB ports.  You don't actually need a sound card to record midi information.  Just to play back audio.  Can you see midi notes in the midi track view or on the piano roll view?