This problem has been discussed at length on the Sonar site. From memory, the usual cause was an errant soundcard driver not being released after a shut down of Sonar. In some cases the driver would eventually close and Sonar would disappear from task manager. Other times it would require a restart of the sound interface being used, or, worse case scenario, a restart of the computer itself. Running drivers can often be checked in the "Services" section of Windows, so you could check to see if your card driver has been released. You can often close the driver from here as well. Sometimes a VST driver could be the cause as well.
I think there were other issues that would not allow Sonar to shut down correctly, but this seemed to be the most common. Any other details you could supply may give us a more insight into your problem. GL