If you're burning Windoze games, then why not just burn them in Windoze? You will be using them in Windoze anyway, so there really is no point for you to burn them in Linux.
As far as I know, Linux CD burning utilities only support standard ISO9660 images (and no, neither CCD, IMG nor BIN files are standard ISO images, they are in a proprietary format of the respective CD burning program).
If you are curious on how to burn standard ISO9660 CD images on Linux, this page
may prove helpful. Good luck!