So you have two sequences - one on XP60 and another on MC500 - and want them to play in sync?
If I were you, I would gather all midi tracks from both sequencers into Sonar first. Easiest way to do this is to save song as Standard MIDI File. I think both XP60 and MC500 can do it. You open MIDI file from XP in Sonar, and then simply drag and drop MC's file right into Sonar's track window.