They use a bit of software called WHDload. Such equivalent software does not exist on Megadrive. I would imagine that loading from the CD is prohibitively time consuming compared to cartridge? Not to mention that games would probably have to be hacked to allow saving.
What is more likely to happen is a Sega Flash cartridge, similar to those found on the GBA and NDS.
This is the wrong forum to discuss... try http://forums.segaxtreme.net/