If you want to convert your PSX .bin & .cue Files to the .chd Format, then you need the latest
MAME build.
Extract the mame0209b_32bit.exe and look for a File called: chdman.exe.
Copy the chdman.exe to your Rom Folder (with .bin & .cue Files).
Press WIN + R, and type cmd.
Press Enter and a Black Window will pop up.
Navigate to your Rom Folder (example:
cd C:\Roms\FFVII\CD1) and press Enter.
Paste:
for %i in (*.cue) do chdman createcd -i "%i" -o "%~ni.chd" and press Enter.
The conversion should start now. After the Process is finished, you should have your Game in the compressed .chd Format.