Actually, I have done the same operation several times, but I need to search for the whole Internet for the method each time. (Seems that my memory is bad enough). I decide to record the most common method here for my next usage. Maybe it also works for you, if you are interested in this simple instructions. I don't mean to make an complete survey of the methods that can be used to complete this conversion task. At least, the method I presented here works smoothly for me on my computer (Windows 7/Windows series).
Software should be available on your system:
1. foobar2000: http://www.foobar2000.org/
2. a foobar2000 extra component: http://www.foobar2000.org/components/view/foo_input_monkey
foobar2000 is the basic working platform and the monkey component is used to add the APE file format into the foobar2000 because the base installation of foobar2000 cannot recognize APE format. Without monkey component would cause the Unknown Format error messages pop out during the process of the conversion. If you are converting a FLAC file, you don't need to border with this component's installation.
Here is the steps:
1. drag the CUE file into the main view of the foobar2000 (the big blank space at the centre of the foobar2000 main view)
2. select all of the entries in the main view (it should be automatically chosen after import the CUE file), choose the convert option from the right click's menu.
3. choose the directory to place the converted files.
4. Here we go, conversion would be running soon.