You can either burn the game on a CD-R or get Deamon Tools and mount the game on a virtual drive
start SSF, and make sure you are using the virtual drive. you can do that by going into options--> options--> "CD drive" dropdown window and selecting the drive your game is mounted on. Click the OK button, and SSF should give you a weird message. Just close it and restart it
Also, you can go in the "program3" tab and check "no bios" to skip the region check & the bios screen (and the need to get a bios file) and make the game start right away.
now just make up another game. in another thread. and say you made the image using the appropriate rip program (just as illegal as downloading and easy to share all the same) then ask for help. but know that your download MAY (or may not) be incomplete or corrupt in some way.
but for the record i do not bug report downloaded games because i understand that might be the first problem.
i'll put that in advice form... if you get the emu running but have trouble with a certain game not working right. the only way to be sure that the emu is the cause of the error is to make an image of the game from an original copy using the proper "ripware"
... i'm sure you ordered "shining the holy ark" and it's on it's way to your house right now... along with every other title you think might be that game you liked which was maybe for the saturn...