Hmm... IIRC, you need a semi-modern version of Nero. 4.0 or newer, I think.
When you open Nero, it brings up a CD compilation thingie. Close it. Go to the file menu, and pick "Burn image". Change the requestor from NRG files to All Files, and choose your .CUE file. Click through the rest of the requestors to burn the image to disk. Done.
NOTE: The CUE file should be in the same directory as the bin, and have the same name. In other words, you should have two files, like:
c:\dir\example.cue
c:\dir\example.bin
