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https://emudeck.github.io/cheat-sheet/#sony-cheat-sheet
the actual "roms" are inside those ".cue" files: ".cue" is just another disk image format, similar to ".iso". if your program cannot read them, the you need to figure out how to convert those into ".iso" or anything that is compatible.
because without the "bios" file, they cannot run. to legally use it, you need to own the (correct version of a) console (ie american iso for american games; european iso for european versions of games).
that is a special file that must be extracted from the console and placed in a special folder or directory of your program, which you will then need to configure to confirm its there. most emulators explain this, if they need a bios file to make games run. some emulators dont need them, so you can use your own copy of a physical game with those, without doing anything else. most people lack the tools and knowledge to extract them, so they use "backup copies" made by other users (which is a legal grey area, as long as you own the same console).
currently, nintendo is trying to block emulators from using bios files, or similar files needed to start the games, and by doing so, they argue is to stop piracy because for them emulators are always about piracy, even when they could sell legal copies of their roms to help preservation of classic games and digital media.
and that, is because they dont want to help: to them, as many other devs that think similar to them, that makes people feel less interested in buying new (usually overpriced) stuff.
you need to read a bit "about pages" relative to the software you want to use, to learn what to expect, and how to configure it. or at least check video tutorials.