Here is some information on the use of SONAR 3 (or earlier versions) with XP SP 2.
SP2 adds a security feature called Data execution prevention (DEP) aka "NX memory" (NX = no execute). The idea is that viruses often enter a computer by coming in via a data buffer, and then injecting code into the data buffer and running that code. SP2 locks that down by only allowing true code pages to be run.
On later model AMD chips (the AMD 64 in particular), NX has hardware support. The chip itself will trigger an exception if a virus tries to run in data memory.
SONAR 3's (and earlier generations) mix engine uses self-generating/modifying code, which is equivalent to code running in data memory. After installing SP2, running SONAR may cause XP to warn about a Windows security problem.
To prevent XP stopping SONAR, go to the system control panel and find the tab where DEP is configured. In there you are allowed to specify applications for which NX can be shut off. If you are using SONAR 3 you will need to add SONARPDR.EXE or SONARSTD.EXE to the list. Choose the appropriate name for the executable file.
You may also configure this via the warning dialog box that XP displays when a it detects DEP. Click Advanced in that dialog to get to the DEP configuration and set it as described above. For more detailed instructions, click the link below and scroll to the bottom of the page.
For more information on the DEP feature in XP SP2 refer to the following Microsoft link:
Detailed description of the data execution prevention feature in Windows XP SP2