I'm not sure if we're supposed to help you with this as it may be condoning piracy, but I'm going to assume that you somehow copied the files from the original disk and made them into an ISO/MP3 yourself.
Try using the 1.10 or 1.00 BIOS, they seem to run nicer.
Also, When I arrive at the memory select thing, It crashes if I do anything than just hit select the moment it comes up without moving the cursor.
Also, make sure your virtual memory is set to the highest and is enabled.
Finally, make sure you aren't loading a save state before the SEGA logo passes.
If all else fails, update GENS, and make sure you're not using the GENS Kaillera.
::EDIT:: From the look of that picture, please ensure the ISO and Mp3's are all in the same folder, so that when you load the ISO in GENS, it loads everything with it.