Google on "General MIDI Synth" and "soundfonts" for some info on how do do what you need to. I don't do MIDI with my 'puter, so I can't help much beyond that. It'd probably help to start by plugging into your MIDI
input on the SB though, no?
BTW, Cubase will work for a softsynth application, although I think Creative has a simpler app that should've come with your card.
Edit: did you enable the SB MIDI in the Windows volume control app, and turn it up?