I've noticed that tons of people have had the same problems with Cubase and MIDI so I thought I'd create a general guide to solve your problems faster.
Make sure audio is working. Import a wav or mp3 file into Cubase and hit play. If it doesn't work head here.
Soundcard Troubleshooting 101 | Music Production
If audio is working, go ahead and record a MIDI track.
If You Can't Hear Anything
If you can't hear anything, open up your VST Instruments menu to make sure you have VST Instruments loaded. Cubase does not load these automatically and if you don't have your MIDI track routed to a synth / sampler you will hear no sound.
Microsoft Wavetable
Do not use this as the output of your MIDI track. The Microsoft Wavetable dohickey is, for all practical purposes, an external synth that is hiding in your computer case. You can route MIDI to it but you can not route that audio back into Cubase. So, it's useless. Safe yourself time and headaches. Use the F11 method like Cubase was designed for.
If you are still having problems, make sure to read these: Getting Started With Midi Sequencing MIDI Troubleshooting 101
Brandon