This option appears on the first tab of the Options menu (which, thankfully, is entirely in English) under 'CD Drive'. Download the app, unzip the package, open the program, and the first thing you'll need to do is give the emulator a CD drive to read from.
If you haven't been scared off yet, you'll be pleased to learn that the emulator runs out of the gate almost as simply as any other. You can download SSF from this page (click the link with the date, at the top). In the decade or so since, only one emulator, SSF, has managed to surpass this trainwreck, and most of its documentation is in Japanese. For years, the only way to accomplish it was through a butchered (and thoroughly illegal) repackaging of Sega's own commercial emulation software, which was intended for used with a scant handful of games (and the limited scope showed). The Sega Saturn.Sega Saturn emulation is a mess.
