You probably are using 3th party content that has program changes in the midi-files.
So every time you press play the sound jumps back to the program that is registered within the file.
You can disable this under preferences - midi - filter.
You can remove them by filtering and removing them with the list editor.
and so on…
If you are new to the program, midi-files are not the best way to start learning the program.
Midi-files can be quite complicated things with a lot of edits on multiple channels, so if i am allowed i would advise you to try to learn to record your own things. Basic things like boem-pats and toing toing, and not the heavier stuff from the beginning. Getting used to the program, the user interface, and the functions, is a bit difficult in the beginning, but cubase is an advanced tool for music making that will give you a lot of return, once you master the basics.