Cubase SX 2.0 setup with external MIDI hardware

Assuming you've sorted out MIDI communication and a decently low latency, these notes assume you plugged your keyboard into the computer's in and out MIDI ports. Then connected the rest of the MIDI hardware from the Thru port of the keyboard.

Open a new 16 channel MIDI project. Say you have a sampler in multi mode, so that each instrument is triggered on a separate MIDI channel. e.g. channel 1 = kick, channel 2 = snare, channel 3 = bass, etc..
In the project window, each channel has a record ("red dot") symbol and a monitor ("speaker") symbol. The record symbol turns on/off the channel's response to the keyboard. So, using the example above, if the first midi channel in the project has its red dot on then the keyboard should trigger whatever is bound to the output.
The speaker does the same thing more or less except it has a different purpose. It just lets you hear what's coming out of that channel, without accepting MIDI input for the channel. So say you're recording on one channel, but you want to hear another channel but not record any MIDI data into it (e.g. recording a lead and you want to hear the kick channel), you would hit the monitor button on the channel you want to hear.