I reckon it's your VST instruments, it's all well and good having midi on cubase, but midi is just a way of controlling something, not a sound. Have you set up a VST instrument?
If you don't know how to do that, press F11, choose a VST instrument, a synth or whatever. Then what you do is, select your midi track (the track itself, not the midi notes) and on the left should be a load of info and stuff, and among that there should be input: and output:. at this stage input doesn't matter, but select output and from the drop down menu select the instrument you just created. Then select the instrument track, and this time set the output to stereo out or whatever you want it to come out on. If you've selected a preset sound on the synth then it should make noise. If that's the problem of course, but i suspect that's what it may be.