Get the "Deamon Tools" (use google, best of all: it's free!), download the .bin and .cue files, then mount the .cue file with deamon tools. this creates a virtual cd-drive which you can play from directly, without having to burn the image at all (faster loading times... )!
If you want to burn it on a cd: mount the image, then use clonecd and copy from the virtual cd to a real one.