you should have ENABLE MIDI THRU At your "edit/preferences" or "device set up" checked (don't remember where it is in cubase)
And you have to set on the little speaker at the midi track so you can hear the sounds.
SO:
First choose a virtual instr. Then add a Midi chanel and enable it for recording. Then select your virtual instr. on the midi track output and switch on the monitor (litle speaker) on the midi track too.
I Think that should work