The MIDI/USB interface ("cable" as you call it) is what will show up in Sonar's MIDI devices list in preferences unless the synth connects directly via USB (i.e. it has a USB socket).
I assume all worked OK in your previous setup? If so then it should work now, in theory at least.
If the interface has drivers, you may need to install them.
With the interface connected if you go into Windows/Control Panel/Devices then select "view by connection" off the view menu you should see the interface hanging off a USB port in there if Windows is recognising it properly.
If it is then download a copy of MIDIoX if you haven't already got it and see what MIDI ports it picks up with the interface connected.