like phil said.
in detail, in cubase (4 and 4le which i also use) you need to add an instrument track to your project. adding a midi track is the wrong road, where i got stuck myself for a long time, cause the plain midi track is not mapped to any instrument.
when added the instrument track you need to select which instrument it should play. by default installation of cubase 4le there are no or only one instrument available. if you installed also the halion suite (i hope its spelled like this) you can use halion as instrument for your ttrack. and in halion you can select if it should play drums organs etc what it offers.
once you are familiar with halion, you gain the knowledge of the concepts behind this.
you can search for free vst instruments to get anything what you want and work with them in the same way as with halion, (insert instrument track, select instrument, play/record, edit the midi stuff if needed)
for your keyboard to work, you need to go to the device menu -> device setup and you should select a new input device for midi, normaly cubase should recognize your keyboard automatically.
for the instrument track you than select your new midi device as input and you can start to play