Supposing you have already Emulationstation + Retroarch running, you first have to enter the Retroarch menu and download the mednafen_saturn core. Then you need to paste this:
<system>
<fullname>Sega Saturn</fullname>
<name>saturn</name>
<path>~.emulationstation\roms\saturn</path> this is the path to your roms directory
<extension>.iso .ISO .mdf .MDF .cue .CUE</extension>
<command>%HOME%.emulationstation\systems\retroarch\retroarch.exe -L %HOME%.emulationstation\systems\retroarch\cores\mednafen_saturn_libretro.dll "%ROM_RAW%"</command> this is where you tell ES what core to use
<platform>saturn</platform>
<theme>saturn</theme>
</system>
in your es_systems.cfg file; beware of slashes/backslashes and all depending of which OS you're running.
Secondly, you'll need to put the proper BIOS file in the retroarch/system directory, see here:
https://github.com/retropie/retropie-setup/wiki/Saturn
And then of course you need to put all your roms in your roms directory.
If you don't want to go the retroarch route, I guess you can use the standalone mednafen but I have no experience with it.