Need help with Sonic CD

I'm new to this. I downloaded Sonic CD... it came in iso + mp3s form.

From what I understand from the FAQs, when I load the ISO in Kega, the game should start right? But I'm brought to a music player instead. What's wrong?
It does the same thing in Gens

And I already have the bios files. How do you think the music player thingy can appear without them? :/