You'll need to get 2 bios or more. Depending what region is your game.
http://www.emuparadise.org/biosfiles...ios_Europe.zip
http://www.emuparadise.org/biosfiles...D_Bios_USA.zip

Are you games compressed in an archive (.zip or .rar)?
If so, you'll need to extract them to a directory first.
Once you did that, you'll need to setup the bios. You can put the bios in the same directory as the emulator, that's what i usually do. Extract them too.

To choose the bios options, go into "Option" then "BIOS/Misc files..."
In the "Configure Sega CD bios files" part, hit the Change button for the USA bios, and select the USA bios your previously extracted in the emulator directory.
Do the same with the European bios.

After that, you'll be ready to play. Go into "File", then "Open ROM". Int he drop down list, select "Sega CD Images", and choose your image file. (What you extracted for the Lunar archive).

Normally, if everything goes well, the game should boot. You'll need to format the internal and external ram. To do this, Hold (A) and hit (Start).
You'll find your way from there i guess.


There might be a problem though. Your game might not be in the ideal format. If it seems to be the case, just send me a pm, or reply here!