Sorry to post this as an answer.
I'm wondering the same thing. I get sound from Cakewalk/Sonar, but Windows gives me no option for choosing which audio channels on my StudioLive 32r to route sound out through, even though I get a volume control at the bottom of my Start bar. Windows (and windows apps like Internet Exporer, Windows Media Player, etc.) don't seem to be sending sounds through any of the output channels.
Is there some software I need to hear sounds from Windows?