Hi trinasweezie, and welcome!
The cue files you are burning are already in VCD format so they just need writing to a disc. However, for .avi files and other extensions etc you need to use software to convert the .avi to VCD format, before you write it to disc.
An example of software you will need to convert .avi for example, is
HERE.
ISO files are generally fully replicated "images" of a disc that have been created, - and these need to be burned back onto a disc as they are usually with writing software that supports ISO image burning such as
Toast or
Dragon Burn.
Rar files are really the native format of WinRAR archiver, and store data via compression. You need to decompress its contents in order to use it, which is usually done with a Windows program called WinRar. There are a few other programs that will open Rar files, but I am unsure what program is available to do this on a Mac, sorry.
All the above files should generally be treated cautiously if you have obtained them via a shared network program.