For the curious:

The history between Sega and Microsoft actually goes back further. In 1994, they announced a partnership for an OS on the Sega Saturn, although it was never realized:

https://mdshock.com/2020/06/22/sega-and-microsoft-announce-p...

But the first contact between the two companies was reportedly during the development of the Game Gear. Bill Gates was in Japan at the time, and he requested a meeting with Sega, possibly about an idea he had for a handheld device. It's not clear what his idea was, since nothing ever came of it, but that meeting helped forge the ties that led to their later relationship. This info comes from a recent interview with Hideki Sato, a former president of Sega.