You cannot use Sonic and Knuckles with Sonic 1, the lock-on technology wasn't developed for Sonic 1.
I just got Sonic and Knuckles for the Sega Genisis. I can play Sonic 2 with it but when I plug in Sonic 1 it says "No Way! No Way? No Way!" across the top of the screen. Is there a code I should know... I am obviously illiterate on things like this, if you could help me get started. Thank You!