Midi Setup On Cubase Se, How to do In and Outs? Options

[korektphool]

I have Cubase SE and 5 virtual instruments (I bought Steinberg's Studio case). I have installed Cubase and the driver for my M-Audio Ozone. I have a mic and that can be connected to the Ozone. When i try to record this onto an audio track, it works and I can successfully listen to the playback. BUT when I try to record MIDI, it gets recorded onto a MIDI track and it says on the place where there are buttons for "play", "record" "click" that in and out are working. But unfortunately no sound is coming out of my Sennheiser 280PRO headphones.The headphones are in good working condition, i tested them out with music through iTunes (so that proves the sound can come out through the headphones through Ozone.) The problem is Cubase is not sending MIDI info through to Ozone through to my headphones. Anyone have any ideas on how to fix this problem? Any help would be greatly appreciated. I have assigned the ins and outs on the left of the project window to "port one" which is ozone.
[KorektPhool]

[korektphool]

Hi kahboomahchuck!
Thanks for that reply, but i did not fully understand what u were saying. Firstly, what is a 'synth', is it software or hardware? And how do i use it with ozone and cubase? Otherwise, how do i assign the midi tracks to a virtual instruments? Can i get different sounds, such as 'Electric Guitar" or "Grand Piano" if the virtual instrument in Halion SE?
[KorektPhool]