First reset the Saturn while playing, go to the CD Control Panel 
(the one with the back of a spaceship flying forwards), select 
Track 2 then click on PLAY/PAUSE and listen to the track.

You will hear a woman speaking in Japanese telling you that you 
are trying to play a SEGA Saturn disc on a normal audio CD player.

Approximately translated as "This is a SEGA Saturn disc and it is 
for use only on a Saturn unit. Please stop this disc, now.".