When you get overwhelmed, you've got a take a step back and set a small, obtainable goal.
In this situation, I always try to get the output of Cubase working first. Before I do that, I rule Cubase out of the equation and focus first on just getting sound out of Windows media player. This requires setting your audio interface as the stock playback device in Windows via the control panel (in XP).
Once that is working, I know that Windows like my audio interface and that my audio interface outputs actually work.
Next I fire up Cubase and import an audio file of some kind. A ripped cd is a good way to go. I press F4 and setup the outputs. I hit play. Sound should come out of the audio interface just as it does with Media Player. If not, something is wrong with the routing within Cubase itself.
Brandon