Fusion supports ISO+MP3 and ISO+WAV for SegaCD. For this feature to work
the ISO and MP3s or WAVs need to be in the same folder, and they need to be
named correctly.

If your ISO file (which is track 1 on a CD) is named example.iso then the
MP3s/WAVs need to have the same name, followed by a two digit track number,
and then the MP3 or WAV extension. E.G:

example.iso (this would be track 1 on a CD)
example 02.mp3 (because the first audio track is track 2 on a CD)
example 03.mp3
example 04.mp3 (etc.etc.)

A common problem is having "hide extensions for known file types" set in
Windows Folder options. This means that your files will end up being named,
for example, 02.mp3.mp3 - and therefore not loaded - because you cannot
see the final mp3 extension.

Finally, Fusion uses the Windows MP3 Codec to decode MP3s. If your codec is
missing or damaged you need to reinstall it. Google should help you find an
MP3 ACM codec installer.