CUE is not a "real" file its contents are only the CD/DVD image description of a BIN file which holds the actual information, the actual image or copy of the CD.
Most software automatically recognizes the Binary File information just using the .BIN file but in case your application does not you will need both files, the .CUE and the .BIN to open it.
Among many other Nero and Daemon tools are the best ones to open this files, if you want to record it to a CD then use Nero if you just want to check it/ install and play use Daemon Tools.
One final Note, when you Install Daemon tools DO NOT CHECK THE OPTION TO INSTALL THE TOOLBAR ITS A VERY BAD APPLICATION!
Daemon tools is one of the best Virtual Drive software you can get for FREE. It supports most CD/DVD image formats as ISO, BIN, CUE, DAA, MDS and NRG.
It also support multiple virtual drives which comes neat in some scenarios :).
And please DO install the LITE version the PRO one does not have anything worth a dime :)
Go to this link to download the Software: http://www.daemon-tools.cc/eng/downloads
Nero is one of the most well know CD/DVD recorder there is. It supports a wide range of CD/DVD image formats and is one of the most stable software to record your audio or data CDS.
Best of all is that it provides a FREE version that you can use as long as you want to.
Check it and let us know how did it work for you.
Go to this link to download the Software: http://www.nero.com/enu/downloads-nero9-free.php