You can use nero..
When you run sega cue maker it generates a .cue file for you. Then all you need to do is load up that cuesheet on a burning app that supports burning from cuesheets like cdrwin, nero, fireburner, etc...
On nero 5.5.10 series, you can load the cue on the File Menu->Burn Image, select the cue file, you'll end up in a window, select DiscAtOnce, burning speed.. (8x recommend) and burn it! 🙂