For anyone having trouble setting things up:
- Use google to find the right emulator and rom.
- To load up the rom, go to File and scroll down to "Load Genesis/32X ROM" or hit Ctrl + G.
- Find the right ROM, in this case it should be "Michael Jackson's Moonwalker.smd"
- Before you start playing you want to set up the controller settings, so go into Options then "Set Config..."
- Click on the Controllers tab, find port 1 and change to Keyboard if that's how you want to play.
- Click on Define and hit the keys it tells you to hit
How I defined my controls:
Z as A
C as B
X as C
Numpad 0 as Start
and the rest can be anything, they're not used in this game it seems.