This is where many newcomers get confused. You can download a legal, open-source emulator like Redream, but it will refuse to play games. Why? Because the emulator’s authors cannot legally distribute the BIOS file. It is copyrighted code owned by Sega (and now Sega Sammy Holdings).

Note: This process requires technical skill and specific cables. For most users, the convenience of downloading is tempting, but you should be aware of the legal status.