You need the ASCOM driver installed in addition to the 'system' drivers:
http://www.sxccd.com/drivers-downloads
Then, scroll down to where it says:
ASCOM compliant SX camera driver for most of our range (including the CoStar) Many thanks to Bret McKee!
So the other drivers on that page allow Windows to talk to your cameras. But, SGP uses ASCOM to talk with your main camera. On the flip side, PHD2 has drivers for the lodestar, so you won't use the ASCOM driver for PHD2.