Did you map the Genesis start button? Probably you got, just by the case make sure if it's mapped:
Option -> Misc -> Joypads -> Port 1 : redefine keys
I hope this text from the readme helps you. As a side note, the best explanation often are there:
Code:
Before you can begin playing Sega-CD/Mega-CD games you must configure Gens
ready for CD emulation:
1. Download the Sega-CD/Mega-CD bios
2. Set the location of your bios files through the Directories and Path
Configuration in the options Menu.
3. Whilst the Directories and path configuration window is still open you
also need to set the default BRam directory for Sega-CD/Mega-CD save
games. Click on OK to save your settings.
4. Open the Option menu and click on the Current CD Drive option, this will
bring up a list of available CD and DVD drives, select one of the drives
from the list. If no drives are shown then you do not have the ASPI layer
installed. You will need to download and install the latest ASPI drivers
before you can play any Sega-CD/Mega-CD games.
Gens is now ready for Sega-CD/Mega-CD emulation.
* Running a Sega-CD/Mega-CD Game from a CD:
-------------------------------------------
Place your Sega-CD/Mega-CD game in the CD drive you selected above and click
on Boot CD in the File menu, or press Ctrl + B. Gens will now initialize
Sega-CD/Mega-CD emulation and begin reading the CD, after a few seconds the
Sega-CD/Mega-CD bios screen should appear. If the bios screen fails to
appear read the FAQ section for more help.
Note that it's normal your CD tray is locked right after you clicked on
Boot CD, this is to permit the CD swap stuff (read the Multi CD game for more
infos) to work correctly.
Edit: Use that Bios:
us_scd1_9210.bin (American)
eu_mcd1_9210.bin (European)
jp_mcd1_9112.bin (Japanese)