depends on what type of CD rom you have, but yes you can. on Fusion

oh btw. that is a nice find.
Fusion. made me mad that I spent so many years on all the inferior emulators.
they emulate games better than backbone does on sonic's ultimate genesis collection. it's what I call better than the actual system. this might not sound like much to people that emulate NES SNES and PSX games. but until fusion came out there wasn't a single sega emulator out there that emulated the games correctly. it made all the game look horrible, because the Genesis had some sort of filter put in it so it could run on SD TV's and look smooth. but computers aren't SD TV's and it ended up looking like garbage on computers. but now thanks to fusion. all the games run, and look and feel the exact way they are supposed to.
if you had a sega controller hooked up to your computer. and fusion running on full screen mode, it wouldn't feel fake. and I feel that it feels fake even on sonic's ultimate genesis collection. but that's because it's not emulated perfectly on the PS3/360
so yeah fusion was a beautiful sexy find for emulation. but I still prefer to play them on the Genesis. because it's legal and you don't have that guilt.... if only I found this emulator before I grew mature and felt guilty for playing games illegally.
EDIT:
it the only emulator to ever have the correct color scheme/palette for Sonic And Knuckles and all the 32x games.
plus the filters work correctly so you don't have all the hideous vertical lines