The various SEGA Genesis Classics games available separately and as part of the SEGA Genesis Pick & Mix Bundle don't activate as separate games in your Steam library.
When you first activate one of the SEGA Genesis Classics games a Steam Game Library named "SEGA Mega Drive & Genesis Classics" is created within which the specific game is shown as "DLC" - each additional title you add shows as additional DLC:
To play an individual SEGA Genesis Classics game:
- Select the "SEGA Mega Drive & Genesis Classics" game, click to "Install" it and then click to "Play" it
- The SEGA Genesis/Mega Drive simulator will start.
Select the game you want to play from the shelf of game cartridges and it will then play.