To do that, may I suggest using Audacity rather than Cubase. Audacity is free and will record anything playing back on the machine (as far as I know). I’m not sure if Cubase can do that. You’ll have to d/l, install and fiddle around with Audacity to work out how to record from a playback stream, but it’s a nearly perfect program for basic recording from the Web. Export Audio Files from Audaicty (you’ll work that out) then Import those into your Cubase project(s) – this is not advice to violate copyrights, etc. If you do, that’s on you.
If you use the loopback function of the UR242 you will have some (low) noise of the two front inputs on your recording (even if you turn the inputs completely down). But that would record directly into Cubase.
On Windows (7 and up) Loopback recording works fine with the WASAPI driver in Audacity. It doesn’t work for Mac I guess, but there’s description on the Audacity-Wiki “Recording Computer Playback on Mac”, may even work with Cubase. https://wiki.audacityteam.org/wiki/Recording_Computer_Playback_on_Mac
I really struggled trying to get Cubase to record sound from my computer but ended up using Audacity to capture internet streams and it does work great. In the windows Sound Window, set your recording input to Stereo Mix which might be ‘Disabled’ if it doesn’t show up in the Recording Device list. Right click on the window and the option to enable it is there. Then set that as your recording input in Audacity and fool around with it until it works. Good luck!
Doable and perhaps acceptable, sure. Ideal? No. One has to be careful with impedance mismatch and level issues. Also, you’re going analogue and depending on the computer’s preamps. In a pinch, no other way out, yes.
The Audacity solution described in previous posts captures the stream and creates a wav file with sampling and bit depth set by the user. Import files or clips into Cubase Projects from there.