Its called latency. I haven't used cubase in a long time, but I hope this helps...There should be something under the midi settings that alllows you to set the ms delay between when you play the note on your keyboard and when the sound comes out...

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JustinKredible

(1) What soundcard are you using?
(2) What drivers are you using?
Cubase runs best using ASIO drivers, using MME or DX driver the worst. Cakewalk DX drivers run best. If you using ASIO drivers you will get a better latency if you adjust the timing. But beware if you choose too low a latency you will run into crackling and drop-outs.
I got a M-Audio 410 and if I set it to low I get just that. It's a Frequency thing also lower frequency respond to better timing but crappy sound if recording...

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Let the beat hit 'em. Hurt me, Hurt me!

Further to what Havok said, if you're using Cubase make sure you're using the ASIO driver provided by your soundcard manufacturer. On a moderately powerful machine you can get latency of 5ms or so (or less) depending on what sound card you've got.

If you're running Cubase SX, select Device Setup from the Devices menu. Then select VST Multitrack from the Devices list on the left, and check (or change) the driver Cubase is using in the box on the right.

Just wait until you start getting crackles and pops, that's when it really gets fun. It's all about the buffer size. The more you increase the buffer the fewer, in theory, crackles and pops, but the higher the delay, or latency. The smaller the buffer the more pops but less latency. Get a good audio card if you don't have one. Try fiddling with these settings. If it still is giving you hell then you need to look at other things like audio card in a less than optimal pci slot etc. Good luck!