Cubase does allow you to define instruments. You can set them up from the arrange window (the main window). You can define the output device and the MIDI channel. You can also define the patches for the instrument. There are a couple of ways that the patches are specified. One way is to create a file (called a patch name script ) of patch names and MIDI program changes. Then from within Cubase, you can select a patch by name for the instrument and Cubase will send the correct program change command. And other way is to use the "studio module". This is like a universal librarian that works from within Cubase.
So, unlike cakewalk (I assume), Cubase doesn't save everything to do with the instrument in its own file. Except for the patches, everything is saved with a song. This doesn't mean you have to redefine the instruments for each song. Normally you create a kind of boilerplate song. This is a blank song with all your instruments already defined which you use as a template for starting new songs.
Cubase also has something called "drum maps". It's not uncommon for different instruments to assign drums to different MIDI notes. For example, a snare drum might be C2 on one instrument and it may be D#3 on a different instrument. This makes it difficult to try out different drum sets after you've already recorded a drum track. Cubase drum maps allow you to map all of your drum patches so that you can switch between different drum kits easily. Drum maps are saved with the song but can also exist as separate files so that you can trade them with other users.
