Look here for help
Yabause (Saturn emulator) now supports the Wii - TehSkeen.com
Basically you are missing the Saturn BIOS file, the main ROM image that the emulator needs to run
They can't supply it with the package as its copyrighted, you will have to search for it
Try looking for
Sega Saturn BIOS
It took me about 30 seconds to find a link that lists all the Sega Saturn BIOS files as well as other BIOS files for other consoles and computer systems
As a hint look under
EmuParadise for the link