I don't have your devices, but I do use Sonar.
The only thing you need first (if you don't have it yet) are the INS files for your alessis and yamaha.
Just import the INS files in Sonar.

Load any midifile and you can choose for each track which instrument patch/program you want to use. (use different midichannels for each device and make sure the receiving channel on your device is the same.)

Fred