How do I play .cue files on my psx emulator?

As stated, I have a psx emulator on my netbook and I've been playing .ccd files on it just fine but when I tried to play .cue files it sent a message like "CD is not readable" or something like that. I was just wondering if I needed to download a new bios file or download a new psx emulator or an epsxe emu to make the game run. Any suggestion that works rocks! Thanks. :) BTW, I'm new at this so please lighten up on technical terms.