I couldn't get it working either
On my comp it was saying it couldn't find Demo, similar problems occur with Harvest Moon according to some messages I saw on the old forum. You might want to search the old forum and see what other people suggest.
Basically, people were taking a file off the CD and renaming it psx.exe. Then they'd run ePSXeCutor with the following command line switches for ePSXe
-lib C:\psx.exe
You need libpsx.exe for this to work.