Problems recording HALionOne instruments in my Cubase Studio 5

Help!

I am using a Yamaha PSR-340 as MIDI Keyboard to play the HALionOne instruments in my Cubase Studio 5. The 'Local' on the Yamaha is set to "off" and I have no connection for Audio Track from the Yamaha to the Steinberg CI2.
When I play HALionOne without recording it the sound/notes come back perfectly through my speakers; not a single note is lost or delayed. The playback is equally good when I am recording. However, after having finalised recording, when I re-listen to the actual recorded track notes are lost, delayed and it doesn't at all sound like anything I played or heard while recording.

My computer is a PC, Packard Bell, Inte Core, 3,2 GHz, 6 GB RAM, 64-bit Operating System, Windows 7.

I would very much appreciate your help to come up with a solution to this problem!
Thanks!