Yes, it's in the 'Sonic Mega Collection Plus', it's a bit old now so you might have to hope you can get it second hand from somewhere.
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You can play Sonic 3, or Sonic & Knuckles but unfortunately you cant play Sonic 3 & Knuckles on Sonic's Ultimate Genesis Collection.
To return to the main menu in Sonic 3 and Knuckles for PC, you will have to go the settings tab where you see this option.
no
You can play them in the Sonic Mega Collection Games, but not in Sonic Gems:i can go super sonic says:but you need to unlock sonic 3 and knuckles that's what i had to do!
i want to paly wave warrior sonic exe 3