When you cannot get it to run on your Wii try the Emulator on PC.
Plays better with the Xbox360Controller on PC than with the Wiimote on Wii (in my opinion).
Use ModMii to update to FW4.2. All needed wads get installed/updated! You don't have to be on FW lower than 4.x anymore. Follow ModMii-guide...
After that install Sonic 4 with MMM or Wad Manger 1.7 or YAWMM.