Cubase Le5 and a Midi Keyboard

I am trying to record with my new M-Audio KeyRig 49 Midi Keyboard. I am using a R8 Zoom audio interface. I can hear the notes I am playing on the keyboard and even switch up VST’s and hear everything fine but when I start recording I can still hear it but nothing shows up on the track and nothing gets recorded. I don’t know if I’m doing something wrong with the Midi ins and outs or what. If anyone can point me in the right direction I would appreciate it.

HP Pavillion dv6 notebook PC
Windows 7 64bit
AMD A8-3500m/8GB/Direct X:11
Cubase LE 5 / R8 Zoom audio interface/ M-Audio KeyRig 49 Midi Keyboard