midi recording

Can you help? I have ‘successfully’ recorded form my Yamaha PSR E313 to Cubase LE5 via my Alesis io2 express software.
I am very new to midi but i have recorded audio. The only problem is that I can only hear playback through the keyboard speakers. I would like to hear it through the headphone socket of my Alesis io2 ess software. Any ideas. It must be very simple!!!