First of all, if you're using a wizard-type interface to burn a "mixed-mode" CD, drop it quick and get something like CDRWin that lets you specify the track layout more precisely - PC Engine games are notoriously picky about disc layout, and a standard "mixed mode" disc will have the wrong layout.
It will have the wrong layout because PC Engine CDs have a... "innovative" track layout. It looks like this:
Track 1: Audio (warning track for CD players)
Track 2: Data
Tracks 3-x: Audio
Track x+1: Duplicate of track 2 (not sure if this is on all games)
In the future, it might be a good idea to get games in BIN/CUE, CloneCD, or some other "whole disc" format whenever possible - you can sleep, play games, or do something else nice while you download, but not while you're pulling your hair out trying to figure out why the game won't work. Better images don't solve every problem (doing audio/data/audio/data isn't exactly laid out in the industry standards), but they reduce the number of potential issues.