To play an old locked game like Budokan or Zany Golf just throw an old cart in the system, any old sega game without a battery backup should do.
Power on and wait for the blue sega logo to come and go and then pull the cart out with the power still on. I use altered beast or rambo III.
Insert the zany golf
Press the reset. The reset switch does a warm boot that bypasses the startup lockout.
I had been doing this for years with Budokan until I recently got a first gen model.
This also makes for some interesting cheats like swapping after burner with Rambo gives you 99 lives
vj