1st post. Welcome
I attached a link to the manuals for your keyboard. Look at the Computer Related Operations Manual (the 1st link). Starting on page 4 it shows how to connect the keyboard to your computer using a USB to USB connection. This would be the easiest method but, if you have the midi to USB connection shown on page 5 then use that.
You didn’t mention which version of Cubase or computer you have… so I am giving general info. If on a windows computer, any CB version prior to CB9 will recognizance the keyboard only if you connect the keyboard and turn it on BEFORE starting Cubase (this has been fixed in CB9).
Generally speaking… see on page 6 where it says to turn the keyboard “Local” function to “Off”. Do that (instructions are in the Owners manual on page 91). Then, use a Cubase “Instrument” track with it set to “All Midi Inputs”. Choose a VST instrument (like HALion) and choose a instrument sound from it. Hopefully this will get you started.