Well the way you have it set up right now, your keyboard is just acting as a MIDI controller - it's not actually transferring any sound data to your computer. If you want sounds the way you've got it set up, you need to load some sound patch in Cubase for the keyboard to control. Then, when you play on the keyboard, it will send the MIDI signals through your USB cable to activate the appropriate sounds from Cubase's loaded patch.
If what you want to hear is the sound of your actual synthesizer's audio banks, then you need to connect it to your computer via an audio cable (into the Line-In port on your soundcard).
Good luck with your new toy
