First, you shall get CDRWIN from Golden Hawk (www.goldenhawk.com/)
After downloading version 3.9k for windows, and installing it, run it.
Note: At the end of the installation CDRWIN will prompt you, asking to install a custom ASPI layer.
Say yes, or CDRWIN will not work properly.
This is the prompt you should get the first time you start CDRWIN.
Simply click OK. The good thing with CDRWIN is that it's not time limited, but only speed limited.
After clicking OK, the main window will appear.
Click on the left uppermost button, labeled 1 in the picture.
The burning screen should appear.
In the CDROM recorder drop-down box, choose your CD burner. (#2)
Then click on Load Cuesheet... (#3)
It will bring this screen.
Select your cuesheet, then press OK (#4)
Here my Windows XP is in french, but the button are at the same position in English.
Note: Be sure that every files are in the same directory, or it will not work.
After clicking OK, CDRWIN will compile your cuesheet.
This should take 5 to 15 seconds, depending on the number of tracks in the game.
Back to the burning screen.
After CDRWIN compiled your cuesheet, simply hit Record Disc (#5).
Wait about 54 minutes and you're done! Left with a copy of that PC-Engine game you ever wanted to play.
Happy playing!