BSP as Midi Interface & Sonar, I can't wrap my head around this....

[Sequentonal]

I used to love working with DAWS for over 15 years, Sonar in paricular cause I could use my Soundblaster Live to store Soundfonts in my RAM loved it... way back when
Then I went to Reason 5 and never looked back.
No need for big hardware and I had all I needed

But until a year ago I never had hardware gear, so my external Midi knowledge ends with choose channel and preset ,(well, there was that poly 61 , juno6 and atari cubase  a lifetime ago:))
I have my hardware hooked up and working.
But I cant figure out how to, for example, send a midi signal from Sonar > through the BSP > to my Roland to play a melody or sequence... -- Or even starting the BSP when I hit play in sonar...

I have no idea which setup would be most convenient either since I only ever used either side, PC and Hardware, on their own.
Is there a step by step guide out there to get this sorted?
Gear List and current configuration:
BSP midi out > 4 way through box >  into Micro Brute CH5, Roland JD-Xi CH1,2,3,10, Korg Volca Keys CH4
Also, I want to use my USB controller to play sounds from Sonar, the Roland and the other gear.

This is very basic stuff I am failing on and I feel like a noob, lol.

Any help and I'd be eternally grateful,