Hi, I had a problem and found the solution. Thought I would post my findings.
When I tried to create a CUE file with some WAV files I have, I suddenly got this error:
ConnectFilters(Source, Sample Grabber) Failed!
I found a few threads here which didnt help me to resolve it. I thought it was because my WAV was 32bit, but it wasnt that. Then I finally found an option when I created my Wav. I use windows 7 + cubase sx5. The option was called "Don't use wave extensible format". I checked this box and then imgburn added it to my cue list perfectly.
From this information it leads me to think, its either I need codecs\filters for Wave-Ex format, or your software isn't set up to handle it? I dont know much about wave-ex, also I don't really require a patch as I have a work-around, but I thought I would come here and post, and help out.
WAVE-EX
wave extensible format
http://www.microsoft.com/whdc/device/audio/multichaud.mspx
... great software lightning ;-)