Yep, ßetamax is right. It's sorta odd that ePSXe doesn't show the CD exclamation screen, but that game stops there if you have a mod-chipped PSX. And, whatever it is doing to check for the modchip, it thinks the emus are one. What's really odd is that the U/C version of the game doesn't have the anti-mod protection, IIRC. It really sux, but there are GameShark codes out there that get around the anti-mod protection. You might be able to plug one of those codes into [pec], and get around that problem, although I've not tested it myself, so can't say for sure.
You can also patch it, but that requires making an ISO of the game, applying the patch, then (in bleem!'s case) burning it to a new CD (Of course, with ePSXe, you can run it from the ISO). And, as ßetamax said, they're available at the usual "patch" sites.
Moderators: Sorry if this is pushing the rules a little, but I think we can all agree that there is nothing really wrong with cracking a game that is legally bought, to play it on an emulator...