Well, as usual with Cubase, there are a few ways to set this up.
Possibly the coolest way (if you’re using the full version of Cubase) is to set up an external instrument in Cubase’s VST connections. To do that, you’ll need to make sure you’ve got your keyboard’s audio outs hooked up to inputs on your audio interface (as thinkingcap said).
Once that’s done, go to VST Connections, and then click on the external instruments tab. Assuming your instrument has stereo outs, you’ll be looking to set it up with one stereo return and zero mono returns. Once that’s done, you select the inputs on your audio interface that you’ve hooked your instrument up to as the returns for the external instrument you just set up in VST connections. This will allow the sounds from your keyboard to get into Cubase.
Once that’s done, you’ll need to associate it with the MIDI side of your keyboard. To do that, on your new external instrument in VST connections, click under the “MIDI Device” tab where is says “No Link”. Then go under MIDI Devices and “Create Device” The default settings will likely be fine, so name your device (I expect you want it to be the same name as your keyboard), and then click OK. Now before you do anything else, click on the same spot where it now has the name of the MIDI device you just created. This time go under “MIDI Devices” and then click “Open MIDI device manager”. Once you do that, select the MIDI device you just created. Then where it says “No connection” on the bottom, click on that and select the MIDI output port of your keyboard, this will allow MIDI to flow from your keyboard into Cubase and back out again so that both you (by playing “live”) AND Cubase (by playing back the MIDI you record on the instrument channel you’re about to create) can send MIDI to your keyboard in order to play it’s sounds. Now click “OK”.
ONE LAST THING you’ll need to do, is turn off the local control of your keyboard (as the MIDI will all be traveling through Cubase now, and if you have local control on, you will always hear your keyboard sounds (as long as the fader is up that is) no matter what midi track you are actually trying to control with it in Cubase. If local control is off, it will only play sounds from the keyboard when your new external instrument is record enabled or monitor enabled.
OK, NOW you’re finally ready to add the instrument. Go to “Add an instrument channel” and under Steinberg --> External Plug-ins" (or similar) it will now show up as the external instrument you created on VST connections. Select it and Viola! An instrument channel that is now controlling (and controls) your external instrument. It acts just as a regular VST does except that you can only have one in the project (because you only have one keyboard tone generator). And you can still use your keyboard as a midi controller for other tracks when you turn off record enable (and the monitor) button on your newly created instrument channel. Make sense?
As I said, there are other ways to do it… so if you have trouble with this way, don’t lose heart. This is just the slickest way–because once it’s set up, you won’t ever really have to think about it again. BUT this way will only work with the full version of Cubase, so if you have Elements or Artist, you’ll have to do it another way.