Hey there,
Good questions. 1) ePSXe natively runs BIN, IMG, and ISO formats. Nevertheless, any archived CD format will work for the reason I'll explain in the next paragraph. 2) CUE is a cue sheet description file for a CD image. It directs a program such as the one I'll talk about in the second paragraph to the file containing all of the contents of the original CD as well as stores information on the order of music tracks. I honestly forget what SUB is all about since I rarely see it. The files are generally bigger than CUE files (CUE files are basically text files). Because SUB has some meat to it, I figure that there's some content there, but I don't know what. If you have it when you rip a disc, I figure that it's important and you should keep it. Ha ha! CCD is the actual ripped information of the disc. 3) I don't use the program you're talking about because my trial ran out and I couldn't justify the expense since I already have Alcohol 120%. Nevertheless, it's a good program. What I remember is that I used the game CD profile. Just make sure you have the program read and rip at the lowest possible setting. Burning, as well. 1X speed is preferable. 4) You can rename the three files with no problems if you make sure to name each of the three with the exact same name and open up the CUE file with a text editor such as Notepad and redirect the cue sheet to the CCD file. To do this, fix the file name as you see it within the CUE. It will be on the first line in quotation marks. You can also find tutorials on the 'net on how to make a CUE by hand.
As I mentioned above, you don't need to worry that ePSXe only natively runs BIN, IMG and ISO. That is because there is the option to run from disc within ePSXe. With a virtual copy of the CD, this is still possible. In fact, I strongly encourage it as CCD is a good format and there are other good ones. Also, chances are you will have ripped CD's in different formats or acquired them from this site in different formats. It's really better not to convert them. In fact, I even make cue sheets for my BIN, IMG and ISO's so that I can do the following:
use DAEMON Tools! After installing this program, you will have a virtual drive on your computer. In other words, you computer will think there is another CD/DVD drive though in reality there isn't. Within DAEMON Tools, you will be able to "mount" images to that virtual drive. You may also make as many virtual drives as you would like. You may also assign drive letters. Simply configure ePSXe to read discs from the virtual drive you're mounting to and you're in business.
I hope this helped. Don't hesitate to ask for clarification. Peace,
manaman