You have to burn it to cd as an image:
If you have nero just goto file then burn image, then browse to where the cue file is and select it. I've never used any other cd apps but i would assume there is a similar function on most apps. One thing to be careful with cue files is the name of your liveset mp3. The best thing to do is open up the cue file in notepad, here's and example of the start of a cur file:
FILE "02_tiesto_in_concert-live_at_gelredome_arnhem_(holland)-3fm-sat-05-11-2003-twc.mp3" MP3
TITLE "In Concert Live at Gelredome Arnhem (11-05-2003) Part2"
PERFORMER "DJ Tiësto"
TRACK 01 AUDIO
TITLE "Conjure One feat. Sinead O'Connor - Tears From The Moon (DJ Tiesto ISOS Remix)"
INDEX 01 00:00:00
......
You have to make sure the name in the cue file is the same as the name of the mp3 which you want to burn to cd. With the above case the name of the mp3 should be:
"02_tiesto_in_concert-live_at_gelredome_arnhem_(holland)-3fm-sat-05-11-2003-twc.mp3"
If my actual mp3 isnt called that then i simply rename it. If you dont do this then you might find that the cd app wont be able to burn because it cant find the mp3 that you're trying to burn (because its looking for the wrong file name).
Hope this helps, anything u are unsure about just ask