I'm not familiar with Cutepdf myself but from the sound of it, its very similar to PDF995. You can google PDF995 to get the download or try this with cutepdf.

When converting with pdf995, all you do is hit the print button to get to the printer selection screen. Choose the program you would like to use ( in your case cutepdf) and it will ask you to select a save location. Choose and name you location and voila it should be done. Like I said this is how it works with pdf995, I've never used cute pdf.