Man, seeing someone post about .cue files really takes me back! :)
The last program I used which used.cue files was CDRWin and the author was really nasty with the tricks he used towards anyone who tried to pirate the software back then.
Then again, I had a registered copy too.
Not sure, but I think Nero was capable of handling .cue files, then again I haven't used Nero since the 2009 version.