Undefined EXTERNAL ERROR

[DRUM]

Hello guys!
I have been for a while in audio recording and can say that I understand pretty much basic stuff etc.
I have begun to learn MIDI lately which is whole new world to me. I use Cubase SX2.
I managed to record MIDI, several tracks. Then I added Hypersonic sounds to each of them, panned them (did not put any effects yet but that part I think I know how to do).
Problem is that my midi file wouldn’t play after I exported it from Cubase.
I get this message: Undefined EXTERNAL ERROR

If I export the same project as audio mixdown it works and sounds OK.
I am sure I’m missing something very easy.