[ShendoXT]

From the FAQ:

Q. How do I create new memory cards?
A. When you're "selecting" a memory card on the Memory cards tab in the Configuration window, just type in the name of the new memory card file, and press OK, and pSX will automatically create the memory card file. Although many games will be able to format the memory card if it detects that it is unformatted, some don't. Because of this, you should start pSX with the memory card loaded, but without any game loaded. Visit the memory card screen, and any inserted, unformatted memory card will be formatted.