You may want to take a look at https://connectvst.com/ for in-depth details. However an empty project and “Create VST Connect” should do the trick already. Just assign your mic when asked to and it should all work. Performer output (Master) and input channels (Mic/Instrument) must be assigned to his hardware ports; possibly, in Cubase you will have to move the VST Connect Monitor plugin from Master to Headphones in the Control Room (Studio/VST Connections) if you use headphones.