.cue file won't run?

So I opened up ePSXe and I downloaded this rom. I open ePSXe and go into the ROM folder trying to run from iso, and I see that a .cue file is compatible. So I click it but an error pops up. Is .cue not right do I need covert? It also came with a .ecm so I don't know, help.

You need to convert the .ecm file to bin.
For that, you will need this.
Install it, right click on the game folder, and select "Unpack ISO".
After that, it will convert the .ecm file to a .bin which you can use to play.

I already tried that, I right clicked my folder and selected UnpakkISO but everything remained the same. What is wrong?

Then try to download this, and drag the .ecm file to the unecm.exe.