Okay, I have the BIOS file, some Saturn CDs and SSF on my PC, what do I do now?
First you need to rename the BIOS image and put it in the right place. For SSF you put it in the same directory as ssf.exe and rename it to "boot.rom", for Satourne you put it in the bios directory and rename it "saturn_bios.bin" and as for Giri Giri you can browse it from inside the emulator itself so dont need another copy in the Giri Giri directory as you can just load it from wherever you put it for SSF or Satourne.
Next you need to run the emulator and change the region setting to whichever one your games are for. This is in various place in the different emulators but generall not too hard to find.