Mednafen is a pretty neat emulator. It's currently my go-to for playing Playstation and Saturn games on Windows computers. However, if you want to play multi-disc games, you'll need to make some M3U files. As I understand it, an M3U file is just a type of playlist file that allows you swap between the discs when necessary.
It isn't hard to make these but documentation on them was pretty scarce and I kind of figured it out through trial-and-error and broken guides on various websites. Here's a quick guide on how to make an M3U file for your games so you don't have to waste a bunch of time trying to figure it out.
Step 1: Put all game files in the same directory
We'll use Metal Gear Solid for an example. So here's my current setup for the game folder. I put all the bin/cue files in the same directory.
Step 2: Open notepad and create the M3U file
In notepad you're going to make a list of all the cue files for your game. Copy the file name exactly as it is written (spaces included) and end with .cue. Put only one cue file per line. Here's the MGS example:
Step 3: Save your text file
Once you're done making your list, save the file. When you go to save make sure you save it as the name of the game and end with .m3u. So in this case I'm naming my text document as "Metal Gear Solid (USA).m3u".
When you've made your file place it in the same directory as your game files. Your folder should look like this now:
You should be good to go at this point. Now when you go to launch the game in the emulator, you'll now pick the .m3u file and it should boot up normally. When you reach a disc change prompt in-game, you'll use the F8 key to open/close the virtual tray and the F6 key to cycle between discs.