You can get sounds from a variety of sources including external midi sound sources such as keyboards, synths, drum machines and samplers, from your soundcard (if it has a built in synth, I don't think the M14 has this) or from software synths and software samplers. There are lots of options in all three areas. I have external midi sources, my sound card can act as a synth, and I use software progs, though not many. Hari or Atom2 could probably advise you better on the software synth options.
I guess the main thing for you to understand (if you don't already) is that midi is control information only. i.e. what note to play, how long, when it starts and how loud etc. It needs something to actually generate the sound. If you rely on a lot of external sound sources you will either need a lot of audio IO on your sound card, or sound card break out box (a box that stands outside your computer. The M14 is an external box, with no reliance on a souncard on the PC, and is in effect a break out box of sorts.), or you will need an external mixer to mix a variety of external modules into say a stereo input pair for importing into your PC.
As you are learning about all this a decent but not to expensive system that gives you the flexibility to try out all or most of these options. As ever with options there are pros and cons:
External, you may have to worry about latency, especially as the M14 is USB based (a communications system not exactly known for low latency for midi implementations. You will need to provide a solution for gettin the sound generated by these modules into your system, and you obviously will use up more space in your studio for more external hardware.
Internal software synths etc generally consume your PC resources, which you probably want to keep for running as many audio tracks in cubase as you can. For example, running a soft synth will use your PC CPU, RAM and hard drive. If you rely on soft synths on their own, you are likely to use more than one. Of course they will be running at the same time as Cubase, and possibly an external sound editor like wave lab or soundforge. All this uses a lot of valuable resources (you can see why I recommended extra RAM!)
If you have a decent music shop near you, why not drop in and get them to demo a few systems or software progs? Bear in mind they are likely to steer you towards what they have in stock, or on special offer. This is great when you know what you want, but look at a few. Try a few different shops. See if you can try demo versions of the software you are recommended or that you think looks good on your existing PC... you get the picture.
I hope this helps!
Cheers
John