You need to first create a folder on the micro sd card that your using called BIOS.
You then put your Sega cd and mega cd bios files in there.
Once you've placed your bios files in the folder you then open the options on the mega sd and go to select sega cd bios files.
You then select the relevant bios files for each county, EU, jap etc.
Once youve set them up your all set, you only need to do it once. Its recommended to use the bios 2.00 files if you have them.