Same answer as your Cakewalk question.
BB song files are a proprietary format with MIDI data and probably pointers to WAV data, much like Cakewalk. CoolEdit is a audio editor only and has its own proprietary format as well.
For this and in almost every other application realm, you need to use some sort of standard interchange format to go from one application to another -- very few applications will read directly the file formats of their competitors. For MIDI data alone, you could save as Standard MIDI Files and open them in almost any MIDI software. For audio data, you need to have them in a standard form like WAV.
