It's a common problem. Lots of online MIDI files use some horrific general MIDI presets for "commonality". If you're using a sound module that doesn't speak general MIDI as its first language, you're likely to get some pretty muddled noises.
If you select a MIDI channel in Cubase and open the list editor, you'll see that there are program change events (or maybe even sysex events!) right at the beginning of the tune, before the first note event. Remove those, and things will stop changing. But even better: put in the program/bank changes that make the _right_ thing happen, i.e. that change the channel to the patch that you actually *need*.
Some excessively clever MIDI programmers imbed those program changes all over the place, and you'll have to go find and change (or remove) all of those as well. You can set the list editor to filter the events it shows you to focus only on program chage events, and nuke them all in one fell swoop.
Hope that helps...
