Hello, I just started using Cubase and as I'm new to the DAW I desperately need someone's help..

I wrote some songs on guitar pro all of which contain several tracks(lead/rhythm guitars, drums, and so on) and exported the midi files of them into Cubase 5. 

Since my aim is to apply the VSTi for each track and eventually make audio files in which all of the tracks are being played simultaneously, I did as below: 
open Cubase > import midi file of a song that contains multiple tracks for multiple instruments (here, all the tracks show up as instrument tracks, not midi ones.. is this okay?) > add instrument track for each track > set inputs and outputs of them > click on 'record enable' buttons of a midi track and its corresponding instrument track > record 
but NOTHING happens, I just cannot hear any sounds being monitored.  

And often I get the error messages saying my VSTi cannot find or load presets.
I don't know what channel, presets, maps are and how they could function in this case.  

Do I have to export midi files of the tracks one by one (separately) into Cubase, record each of them with VSTi(which I'm having trouble with), and later merge them all in order to get an audio file of a song?  
I cannot figure out what the problem is, and I need to know how to put VSTi on the midi files correctly and record them as audio files. 

Thanks for reading this.
I would recommend importing your MIDI file as just a MIDI file, and allow Cubase to break down the file into it's separate tracks (so that you have a midi track for each instrument).
Put the VST instrument plug-in (i.e. BlueArp) in the RACK.
Send the output to a MIDI Track and activate the MONITOR.
Put the target instrument in the RACK.
Send the output of the MIDI track to that instrument.
From here, use the Bridge to set the output of each instrument to a Buss or Aux
Make the required number of Stereo audio tracks, and set their inputs to the appropriate aux/buss.
Record arm with Monitoring. You should now be set for audio.

Not knowing which VSTi you are using makes determining how to select your samplesets difficult as some VSTi use an internal dropdown, and others use a graphical list.

Further reading and watching that may help:

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