Yes, you load the .cue file. (Do this by going to the File menu and selecting Burn Image.) That said, from my own experience I wouldn't recommend Nero to burn bin/cue sets (although it's fine for iso/mp3 sets) because certain versions of it mess up bin/cue images... they're reported as much too big, or seemingly burn OK but result in corrupted discs. CDRWin may be the better choice here.
If you do decide Nero (reasonably recent versions may have the bin/cue bug fixed for good), make sure to burn the CD in DAO/96 mode, or at least DAO.
I *really* need to get started on that burning FAQ I promised MTXBlau ...