MIDI tracks are data, not sound. You need to trigger a device that outputs audio in order to hear or record what the MIDI directs. You can trigger a VSTi or an external sound module to accomplish this.

In your case, if you want to record the sounds from your keyboard, you need MIDI cables to and from the keyboard to your MIDI interface (or USB connection if applicable) and audio cables from the keyboard to inputs on your soundcard. In Cubase, you need a MIDI track with the input and output set to your MIDI interface and an audio track with the input you used as the input. MIDI Thru has to be checked in Prefs. Use the Monitor button on the audio track to toggle playback and live performance.