This is something I'll be handling shortly.
First, I would make sure you are actually getting MIDI into your computer. Cubase has a meter in the transport that will flash up every time MIDI comes in. If you are getting MIDI in, you are in business. If not, you need to make sure you have the right MIDI input selected in your recording software.
You may want to check out these guides:
Getting Started With Midi Sequencing MIDI Troubleshooting 101
Brandon