does the mega drive its connected to and the video cable definitely work?
if so, clean the edga connector on the mega drive first (alcohol is good for that)
if thats no luck, check your power supply brick works (check it with a multimeter or plug one you know works in place of it)
if its still no go, then youve probabbly blown the fuse inside the mega cd unit (small green resistor type thing near to the power connector, rated at 2.5A in mine) you can replace that, but most likly whatever caused it to blow first off will cause it to blow again, so if it has blown you might want to consider looking for another one