Try to do the following:
Sega CD Emulation Guide
1- To play Sega CD games try to use this Gens emulator.
2- You also need to download Sega CD BIOS.
3- Extract the Bios file and you will find 3 files inside it.
4- Now let's take a SegaCD game, for example: Samurai Showdown.
Extract this file and you will find something that looks like this:
5- Start the emulator (gens), Go to:
Option --> Bios/Misc Files...
As you can see in the image below, you should place the BIOS in the right place.
Click on the Change button as shown in the image.
then place the Bios on the right place.
USA --> Sega CD BIOS V1.10 (U)
Europe --> Mega CD BIOS V2.00 (E)
Japan --> Mega-CD Boot ROM v1.0 (J)
6- Then all you have to do is to load the game:
Go to File --> Open Rom
Select the file that called Samurai_Shodown (the first file in the image in step 4)