I'll try it tomorrow and get back to you, I have an AMD 64 X 2 3800+ @ 2.0 Ghz.
This just may be an issue with older Athlon Chipsets though, and may not be related to mine as my chipset supports MMX, SSE, SSE2, SSE3, 3DNow, x86-64
To the op:
What is your exact AMD Chipset? Is it Dual Core, Single Core, x86, x86-64, I know it's an Athlon by your post, but what's the number that usually follows after the processor name, such as 3200+, 3800+ ..... and so on.
Details like this would help a bit more for the Authors of pSX to pinpoint the problem and fix it possibly