Well first off.... you said you are trying to install a windows game. It may work under wine or WineX, but in general, windows games don't run on linux. Same reason why windows games don't run on mac.
As for burning the bin and cue images, you need to find a cd burning software. I forgot what I used when I burned slackware, but it might've been a gnome tool. I also heard K3B (I think that's it) is good. Others here might be better at pointing you in the right direction when it comes to CD burning stuff. Note: This is burning the bin/cue image onto a CD-ROM and not installing the game as it would probalby not work.
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