I don’t know why, but my Cubase5 not see my yamha psr E405. I setted my yamaha on Pc mode and I setted Cubase in Device setup and Vst connection to connect but I get none result. 
Why does not recognize?
A couple of thoughts here…
Make sure your keyboard is connected to the PC usb port and the PC has recognized it before starting Cubase. Cubase will not detect it if you connect it after you start Cubase.
You probably need to set the keyboard to “local off”. You need to find out how to do that from your keyboard operation manual.
Add an “instrument track” to your project and make sure the inputs are set to “all midi inputs” or the exact name of whatever your Yamaha is listed as.
Add a vst instrument to the track and choose a sound from what is available. Example… pick Halion Sonic SE and choose a piano sound from the list.
Good luck 
Regards 