Im currently using cubase al5, really noob at it. I tried composing a simple track with drums, bass etc and when i export it as a midi file, all the effects are played as normal keyboard notes! Is it meant to be like that? If so, how can i export a MIDI file that plays different instrumental sounds besides the keyboard? (etc strings,guitars) Thank you for your help in anyway for a beginner like me! 
Triple: Are your sounds coming from your external Keyboard or from
say Cubase"s Halion, etc. 
And when you say “effects” do you mean Sounds
Jack 
Thanks for the reply!
I used the instruments provided inside Cubase! Yeap, the “effects” i meant as sounds of the instruments. Sorry for the confusion!
You need to export the audio mixdown to capture the sounds you are hearing within Cubase. This would generally be to something like a .wav file.
If you are exporting the MIDI file all you are doing is exporting information that will trigger something else to make sound.
The sounds you are hearing when you try to play the MIDI file are probably coming from something like the generic Microsoft synth.
Exporting to midi will result in a file that sounds different based on what you use to play it back, so that’s not what you really want to use. Export to an audio format instead like Scab said. Wave is lossless but very big, MP3 is probably limited in your cubase version so I would go with WMA.
Thanks for the input guys! Issue resolved! hehe. 