You should install the CI2+ Tools from CI2+ Updates and Downloads | Steinberg
Restart the computer and open Cubase, change your ASIO driver to the Steinberg Yamaha USB driver (this is the CI2+'s driver). Now all of your input and output audio from Cubase will process through the CI2+.
If you still have trouble with it, what operating system are you on? What version and build of Cubase do you have installed?