About UltraHLE not opening when double clicking it, I used to have this problem. It's one of the sillier bugs that would've been fixed had it not been discontinued straight away. If you go to a command prompt and load ultra.exe from there instead, it should load.
Make sure you've unzipped the games you want to play, and that the directory it's in doesn't have any spaces. Neither should the ROM you're loading or any directory it is in.
Why do you think Apollo is bad anyway? Admittedly it is slow (it doesn't have a dynamic recompilation core like Project64 or 1964, just an interpreter) but it's compatibility is about the same. It's definitely worth a try on a highend P3 or a P4/Athlon, especially when the new version comes out.
__________________
Athlon Thunderbird 1.4GHz 100FSB
384MB PC100 SDRAM
GeForce4 Ti4600 128MB
120GB 7200rpm IBM and 60GB 5400rpm Maxtor IDE hard drives.
Creative SB PCI128
LiteON 16x10x40 CD-RW and Samsung SD-616Q 16x DVD-ROM