Well... you have connected Korg Midi-OUT port to SB Midi-IN port, right?
First check that SB Midi Drivers are installed and card is working properly. You can use for example Microsoft Midimon program to ensure that Korg transmits midi and SB receive it properly...
Then check Cubase that SB is selected to be Midi input device...
When you are working with standard Midi interface there is no need to special drivers, all devices should transmit same type of messages.
Good luck!