Hi Thorben,
Ah, I use MIDI controllers, too, and so have to use a different "soft" device for my playback device.
What device do you use in Cubase? If it's a stand-alone synth (either an external unit or some sound library or such), then you should be able to use it as the MIDI Playback Device with Composer as well (eg. Roland VSC or such).
If you don't have one (I haven't used Cubase), then I can recommend SynthFont (
www.synthfont.com) as an alternative to look at. You'd need to use a virtual MIDI cable, which you can find info about at
this thread.
ttfn,
Sherry