ISOs, BINs CUE files help

Hi I am new to emulation and seem to be missing some basics. I downloaded the Kega Fusion emulator, set the Mega CD BIOS rom files and downloaded a couple of games. First game was blackhole assault which when downloaded has a .bin and .cue file and was simple to load and play...happy days. The second game was slipheed which when extracted had 1 x .7z file 7 x .ape files and 1 .cue file. the .cue file lists them all as .bin so I tried to rename them to match...no luck tried converting the whole lot to a .iso file...no luck and can't find any guides, how to or readme files anywhere.........does anyone know how this file is supposed to work or is it just a bad file? I would preferably like to end up with the same format as the first game with a .bin and .cue (this seems to be a far better way to do it as you can run from the folder or use the .cue to burn to disk)

http://www.epforums.org/showthread.php?57757