I am getting the games from coolroms.com working by remaking the cue sheet file with Sega Cue Maker. Obviously the paths are incorrect in the cue sheet, (I have no idea why they are, I guess they don't know how to make a cue). Anyway, just remake the cue with segacuemaker, and burn the cue using nero, and you should be good to go.
oh yeah, and also make sure you burn only at 8x, to make sure the CD will load in your Saturn. Off course if it is a jap game, use the region patcher to patch the ISO first.