If you are attempting to play Sonic 3 & Knuckles on a modern emulator (such as RetroArch) and the game only loads Sonic & Knuckles (starting at Mushroom Hill Zone), it usually means the emulator cannot locate the Sonic 3 data.
file in any emulator, the most "useful" thing you can do with it is use it to power Sonic 3 A.I.R. (Angel Island Revisited) Sonic 3 A.I.R. sonic knuckles wsonic3bin file
If you own the game on Steam, you can find the file in your installation directory: Open your . If you are attempting to play Sonic 3