It depends on the driver.
In Cubase, you will probably need to select the correct audio driver. See if Yamaha installed an audio driver as well and try to point Cubase to it. If that works, then the audio should stream and you'd need to add an audio track to hear it.
However... you may not hear the playback through your speakers.. since you switched to a different audio driver.
In that case, download ASIO4ALL, point Cubase to ASIO4ALL, open up ASIO4ALL settings and enable the Yamaha audio stream also. From there, you just need to make sure your audio channel is routed to receive the signal from the Yamaha.
This all is contingent on if the Yamaha has an audio driver for you to install. You'll have to look that up
Okay... I just did a very quick Google search. I want to the manufacturer webpage and I didn't see anything that suggests it has an audio driver. You'll want to confirm that of course.
If it doesn't have an audio driver, you'll have to manually record the output from the Yamaha into the input of an audio interface/mixer/sound card linked up to your computer.