"Internal RAM is not initialized"

I have problems with my burned version of Sonic CD on my Sega CD. The game starts but it comes an message "Internal RAM is not initialized. Use otions screen to initialize RAM"

What is the problem?
The problem is that the save memory in your SegaCD isn't initialized. To get to the options screen you have to hold down some button while starting, I forget which. Check your manuals or use Google.