did you enable MTGS&DC in the CPU menu and all recompilers?
and the 256color mode works only with ZeroGS 0.96.0.
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My System: C2D E6700 @3.4ghz | Asus P5W DH Deluxe | 4GB DDR2 800 | eVGA Geforce GTX 260 55nm SC-Edition
Tutorial: Hardware Antialiasing in PCSX2 (DX9 only)