First of all you need the Saturn bios, either the NTSC-J, PAL or NTSC-U version. Once you got it, go to Otions -> Peripheral -> and select it at the Bios option. The emu ill quit but that's right.
Then you need to mount your Saturn Isos with Daemon Tools, either in cue-bin, iso-wav or another Iso-only format, but not Iso-mp3. If that's the case, you need to convert the mp3 to wav, although it won't be 100% correct it would mostly work.
Once mounted, select that drive on Options -> Peripheral -> CD-Drive. SSF should quit automatically, but next time you start the config would be ok, and will auto start emulation.
Now you can config the input, go Hardware -> Controller1 -> and press the key you want when it asks.