You can stream audio from multiple programs through an ASIO driver. The limitation is that you can only use one device with an ASIO driver u less the manufacturer writes the driver to use multiple hardware units. eg RME you can use up to 3 X FF800s hooked together and co troll them all as one it.
If you turn on Share drivers with other programs - in Sonar, what will happen is that only the program with focus n Windows will send audio. If you want multiple programs to stream audio then make sure that setting is turned off in Sonar.
Then it's just a matter of selecting the ASIO driver within the software. Remember that programs like Windows Media Player do not use ASIO drivers as its not a Windows driver model. In that case select WDM drivers. If it's for playback only you shouldn't have any problems.