I burn Saturn games with Nero and IMGburn, typically on slow speed < 10x.
Some piracy games come in bin and mp3 format, you need to convert mp3 to wav or burn in Nero (converts automatically to wav on the fly) then. There are some tools available that can make cuesheet automatically for bin/ISO + wav files (or MP3). If you dont burn the soundfiles you dont get any music (or sound).
Saturn is very dependable console IMHO, very classy system, silent (even with piracy CDr), elegant. Truly a console for the more sophisticated playerz.
I got my system running with Action Replay 3, its got 1/4MB expansion so it takes most games and is of course import adapter. If 40 euro incl freight for AR3 is too expensive you patch the ISO from NTSC to PAL or vice versa.