Cubase will play back a MIDI file imported into it by using
Halion, the software synth it hopefully installed when you first installed the programme. Check it's there, and with the MIDI file on the screen, just look at VST instruments, find Halion, load it, and then in the inspector box on the left, change the output to Halion, which will be in a drop down box. Then the file should play. If it's a MIDI file intended for GM sounds, it should automatically tell Halion to play the right sounds, but many of these files do not have programme change data, so you may have to manually load up the right sound for each MIDI channel. When you save the song as a .cpr file (the default) all these settings will be remembered.
Cubase is a great program, I've been using it for 20 years now, going back to Atari 530s in black and white. It is, however, very complicated for newcomers - even on the popular cut down versions. Persevere, it's worth it!