You don't - you route Windows Audio to loopback to Sonar input to Sonar output to hardware. Windows audio doesn't come into effect after the first step.
If you do want to do this, I'd look at a lightweight VST host like Blue Cat Patchwork.
Or I'd just load the audio into a dummy project in Sonar and listen to it there. It seems like a lot of effort if you need to run Sonar/Patchwork alongside media player (assuming you can't find a media player that hosts VSTs, and I'm sure one exists).