Ok I have cakewalk sonar on my PC and the SP555 hooked up with the USB cable.

I have midi selected

sync with another midi device - auto

changed the sync source midi clock to USB

midi thru set to ON

In cakewalk sonar I set my midi in and out to SP-555

I set audio drivers to SP-55 in and out

SP-555 is the playback and recording master

Now what?

When I hit pads on the SP-555 I get samples or patterns registering only in the headphones connected to the 555, just like as if it was not plugged into the computer via midi/usb.

When I open the synthesizers or piano board in cakewalk the SP-555 has no control over anything. I play something in cakewalk and I do not here it via the SP-555. I have no idea what to do next.

Correct me if I am wrong, I should be able to control things in Cakewalk with the 555's pads and hear the cakewalk audio output through my headphones connected to the 555, and be able to play my samples into the cakewalk program right?

Check for an option called "remote" or something similar.
I haven't used Sonar much, but there should be something like that there.
If you can find it make sure its on.

It is basically telling the pc that the 555 is a remote control and to accept any incoming messages.

Cool, I will give that a shot this evening. Thanks for the tip.