need help burning games, am confused

alright, i have games on my computer now, and i cont know how to burn them cause they dont have any of the file types listed... the only non-game files that i dont know what to do with are the .nfo and .sfv files, basically i have no clue what i'm doing, all i know is there is no .cue file like i keep hearing their should be, can someone please explain to me how to burn a game?