Hey,
You're using a MIDI device, so you'll want to use a program that supports MIDI. Cool Edit is good for editing audio files, but it has VERY limited MIDI support in 2.0.
My vote goes to Cakewalk Sonar from your list because you can record both MIDI and audio in the same program, and because (in my opinion) it is a better program than Pro Tools, and you can use any soundcard you want.
Take care,
Nick