What is it:

1. APE file - this is original WAV file ripped by EAC and compressed by Monkey's Audio.
Monkey's Audio is lossless(!) compression (much better than RAR -mM), so when you decompress 
the file you can burn it back as Audio CD or encode it with your favorite MP3 tool. 
Absolutely no quality loss - you have the same (or as close as possible) WAV file as on 
original audio CD.

EAC Tutorial   : http://www.ping.be/satcp/tutorials.htm
Monkey's Audio : http://www.monkeysaudio.com

2. CUE file - this file can be used to either split WAV file(not APE!) to tracks (e.g. using EAC) 
or you can burn it as audio CD. 
To burn it as audio CD - decompress APE file, put WAV&CUE in the same dir and use Nero/CDRwin/EAC/etc.

Why APE:
http://www.monkeysaudio.com/comparison_compression.html