Digital sound is nothing more than numbers. What separates one container from another is how those numbers are packed, how much data (if any) is thrown away, and which devices understand the result.

Change ImgBurn to its Write mode, and use the cue sheet to burn those WAV files into a CD. The catch is that Audacity has to have its WAV file set to a 44100 Hz sample rate, and to a 16 bit resolution ...