Set up UR22 with Cubase 5

I have the manual, and for starters it’s not very clear on the MIDI section.

The especific question is that It doesn’t recognise my keyboard. It’s all pluged in, it’s all fine, but it does not send sound, yes, the cables are on the right In and OUT places.

I’ll try it with another one to see if does the same thing, but it doesn’t send the signal. And as far as I can see the MIDI connections are all ok