Cubase acknowledges every MIDI controller. There may not be templates for it in Cubase, but you should always be able to set it up as either as a generic remote or a GM device depending on how you want to use it. What exactly is going wrong?
Do you have the blue or silver? Have you installed the DirectLink personality? Is it the most up-to-date version of the personality? Check the drivers on the M-Audio website.
HTH
J.L.