After you have entered the data for the puzzle select menu option File..Play.
There will be 3 small numbers at the bottom right hand corner of the window and the word Easy, Moderate, Tough, Hard or Unfair. Most newspaper puzzles will be either Easy or Moderate, even ones they might rate as being hard. Ruud needs extra levels as some of his puzzles can get VERY tough.
If you see the word Invalid then either the puzzle is not solvable or has multiple solutions or more likely you've made a typing error.
If you want to see the solution select Solver .. Solve.
Lastly if you are online then F1 will get you to the Sudocue help page, where you can find out about all the other wondrous things Sudocue can do.