The .BIN file format is actually designed to store information in a binary format. The binary formatting is compatible with disk storage and it allows media files to save and sit on the physical disc.

I just downloaded a 600MB game from KaZaa and it's a .BIN file. How do I open it to install the game???

A .cue file tells burning software how to burn the .bin file. So basically, just load up your burning software of choice, burn an image, and select the .cue file. It's just like burning an .iso ...