Cubase SX/MIDI Settings

Please help.
I’m an older user and struggling with the MIDI settings.

CONNECTIONS
I have my Lexicon Omega hooked up to my laptop via usb hub. On my laptop I am using Cubase SX. I have a MIDI cord out from keyboard to the Lexicon Omega.

CURRENTLY
I am able to play sounds on my keyboard (loaded bank from keyboard) and Cubase SX receives the signal.

WHAT I WANT TO DO
I want to be able to play the VST instruments on my keyboard.
I want to be able apply VST effects to sounds I’ve loaded into my keyboard.

What am I missing here? I’ve tried reading the manual, watching videos. I’m sure its something simple that i’m missing.
The Cubase shows i’m receiving sound from my keyboard.

Please help.