You need to use the CUE maker you downloaded with your disk image to create a cue file for the game. Putting the cue maker in the file won't do anything.
So launch cue maker, show it where your game is then hit create cue file. Put the generated cue file into the folder with your game ISO and sound files, then when you run the emulator and select load sega CD Rom, select the CUE file rather than the ISO.