Configure your MIDI device setup by clicking the "Devices" menu and selecting "Device Setup" from the drop-down menu. Click on "MIDI In," which usually is a MIDI controller device, and click on "MIDI Out Ports" that you use with your MIDI track from the "Default MIDI Ports" menu under "MIDI Devices." Windows users may need to click "MIDI In" and "MIDI Out Ports" from the "DirectMusic" menu.
Click on "New Project" from the Cubase file menu to create a new project. Click on an empty template from the given list, and set the path to store your new project from the next dialog.
Position your mouse pointer on the blank space to the left of your timeline and right-click. Click "Add MIDI Track" from the drop-down menu.
Set the MIDI channel to "Any" in the dialog to the left of your track. Set the "MIDI Out" to the device your MIDI track is controlling or to the "MIDI Out Port" from the same dialog. Set the "MIDI In" to your default "MIDI In" port or to the device from which you are controlling MIDI.
Test your MIDI track by striking a key on your MIDI controller device. An indicator on the MIDI track responds to MIDI input, confirming your MIDI track is properly configured.