You are saying you save a file in Cubase AND you are exporting a MIDI file as well, and then referring to wanting to play the file, so based on the symptoms you are describing, I am assuming you are referring to playing a MIDI (.MID) file. If I am off the mark, I apologize and ask to be ignored. 
MIDI does not contain sounds, just the performance (so to speak). So a program that wants to play a MIDI file will need some sort of sound engine to play back the performance from the MIDI file. Often, this is where General MIDI is used.
If the sounds you had selected for the MIDI tracks in Cubase does not correspond to the sounds assumed by the MIDI player, your composition can sound very strange indeed.