make sure you either: rename your mp3 like the name in the cuesheet
or
in the cuesheet, make sure to change the name there with the name of your mp3.
put both in the same folder
Start Nero, preferably the latest version of course, you can find one on Isohunt.
choose the : make a CD from MP3 option, double-click on the cuesheet.
You can check here for better help:
http://www.dcsoft.com/cue_mastering_progs.htm