It is definitely possible to record all these tracks at the same time.
Generally speaking midi is set up differently than audio. Audio is set up through your audio interface and most modern midi connections are set up directly through your computer (example: through a usb port).
This is all explained in the Cubase manual but, in general, you connect your midi keyboard through a usb port. Drivers should automatically install (but if they don’t you will have to find them and install manually).
Connect the midi device, make sure the usb connection was automatically recognized by your computer, turn on the midi device, then start Cubase. Cubase will then detect the connected device.
On the midi or instrument track you are recording on, the midi device will be listed in the track input dropdown (found in the inspector section). If recording only one midi device you can choose “All Midi inputs” but, choose your exact midi device if you expect to record multiple midi devices at the same time.
The output for midi or instrument tracks is defaulted to whatever is set as the Cubase main stereo out.
You will probably will need to set something on your midi device to record correctly. If not familiar, look for those instructions in the device operating manual for how to connect the device to your computer and the workings of the “local” on/off function.
If you want to use a VST instrument sound you need to choose that VST in the midi or instrument track (also found in the inspector section right below the input routing) and don’t forget to chose an actual sound from those available in the VSTi you chose.
Only if on a PC…
You must connect and power on the midi device before starting Cubase. Otherwise Cubase will not detect it (feature request has been submitted). Likewise, if you turn off the device or it somehow gets disconnected during a Cubase session, you will have to restart Cubase.
BTW… please list your system specs when asking for assist. It will help to get a more specific response.