Here is what I would personally do:
1) Find a way to get CDRWin working. Seriously. Because you're constantly going to be dealing with the same format in almost every case... and CDRWin is good for the bulk of these games.
If you have version 4.0a beta, try rolling back to the earlier 3.x version (I forget what # it is). Try the latest demo, read the forums, perhaps check for driver/firmware updates for your burner.
I'm not trying to make CDRWin sound like the be-all end-all of burners, but when you learn how to use it it's gonna make your life a helluva lot easier. I use Nero, but I find it nowhere near as reliable (Nero spits out a lot of coasters on my machines) and CDRWin is just more geared for this... probably because they invented the cuesheet method.
2) If that doesn't work, mount the .cue sheet with Daemon Tools. This will create a "virtual" CD that you could redump into a Nero image format (I strongly suggest a disc _image_, not another ISO+MP3 deal). If you have a bunch of MP3s, grab the MP3 to WAV converter in the misc section here, it can't mount MP3s.
*note that if you use Gens, Kega or Magic Engine, it's entirely possible to mount cue sheets/file sgements and then actually play them in the emulators. This gives you better load times than running off disc, or.. the original machine, in some cases
Finally, you are setting yourself up for a lot of disappointment by downloading some of the ISO+MP3 "rips"; more often than not the MP3s are not ripped correctly and will be out of sync. There is no practical way of fixing them.