It's the Saturn's equivalent of a PC's CMOS battery, and it has gone bad.

The battery is the ubiquitous CR2032, and can be found at the jewelry/watch counter at Wal-Mart, as well as just about any local hardware store!


Here's how to replace:

http://www.retrogarden.co.uk/features/how-to-replace-the-battery-on-a-sega-saturn/

or

http://www.classicplastic.net/dvgi/features-MODSSATURNbattery.html