Thank you very much, I did it.
I had downloaded the Sonic CD as a compressed file in .zip, and I just had to click on "extract on Sonic CD". My error was when I clicked "extract here" (I had it all scrambled in the folder "roms Mega CD"). SOLVED thank you !!!! ;)

Muchas gracias, lo logré.
Tenía ...

How to get Mgalaxy, mount a .cue .zip from sega CD with Kega fusion ?? The Sega CD starts but the game does not. It's as if I turned on the Sega Cd without a game. With Kega fusion (outside of Mgalaxi) if I can play,but only with .iso.  :-\