Do you have 7zip or winrar to open up the zip? If its organization problem just make a ROM folder in the emulator so you have all your Roms in the right place and extract in there.
Also you dont need to do any of the patching
Its already been done lol:
https://replayers.org/sega_saturn_isos/sakura-wars-english-patched/
just download SakuraWars_EnglishPatched_v1_0.7z, extract it and just drag the CUE file into Mednafen.exe or run it on Mednafen.exe and
BOOM you can play sakura wars
This is assuming you already set up Mednafen which isnt to difficult, there are tons of guides that tell you step by step.
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If you need configure controls: Alt + Shift +1
If you want to go full screen: Alt + Enter
Heads up when the game ask you to swap disc
rename your Disc 1 save to that of the filename of Disc 2. Make a backup copy of the Disc 1 save to be safe. Open the Disc 2 cue file with Mednafen and everything should work
Usually you'd make a MU3 file for disc swapping but its weirder here