First, let me apologize in advance if the following seems insultingly obvious ... that is not the intent.
You need two MIDI cables - connect one cable to the RP301 MIDI Out and the other end to the USB MIDI adapter MIDI In. Connect the other MIDI cable between the RP301 MIDI In and the USB adapter MIDI Out.
In you DAW (I am not familiar with Cubase, so I may not explain this well), you need to have a track set up so the track input selects the USB adapter. The track MIDI input channel should be set to whatever the RP301 is outputting, or just set it to Omni, so whatever is coming in from the RP301 will be accepted. The track MIDI out should be connected to either the Cubase synth OR to the USB adapter MIDI Out (if you want whatever you record on the MIDI track to drive the RP301).
One last complication to consider if you are connecting the DAW track MIDI Out to the RP301 - MIDI Echo. What this refers to is the MIDI signal coming into the DAW being 'echoed' back to the MIDI Out or not. MIDI keyboards generally have two modes, typically referred to as Local Control On or Off. When Local Control (on the Keyboard) is On, the MIDI signal is connected to the internal Keyboard sound module, and is also sent out the MIDI Out port. When the Local Control is Off, the Keyboard MIDI signal is still sent to the MIDI Out port, but it is not connected to the Keyboard sound module. Meanwhile in the DAW (i.e., Cubase in your case), if Echo is On, then MIDI In is echoed to the MIDI Out. So with Local Off on the RP301 and Echo On in your DAW, the Keyboard MIDI signal goes out the MIDI Out port, is received in the DAW, and finally echoed back to the Keyboard MIDI In and drives the Keyboard sound module.
So how does any of this Local Control and Echo go wrong when you are trying to use the Keyboard sound module? If Local Control is On and Echo is On, then the Keyboard sound module first receives the MIDI signal from the Keyboard MIDI signal AND a slightly delayed MIDI signal from the DAW. This creates a strangely distorted sound. If Local Control is Off and Echo is Off, then the MIDI signal never makes it to the Keyboard sound module.
Most DAWs try to handle Echo and Local Control automatically, but my DAW (Sonar) manages to screw it up, so I have the Automatic Echo disabled and set the Echo state manually.
I hope this information will be helpful for you. If I have simply confused you, maybe the information will still help you formulate question that you can research on the Web to get if figured out.
NY Steinway A 1907, FP-7F wi RPU-3
HW: GA-X58A-UD3R, i7-930, 6GB & 2ea WD2002FAEX, 1ea WD1001FALS1TB, UA1000, Yamaha 2.1 HSM80M/HS10W, DPA SMK4061, Mackie LM3204
SW: Win7 Pro x64, Sonar PE 8.5.3, NI Komplete 8 Ult, Ivory Grand Pianos II