Okay... I don't know if this has been stated already, but, you need to copy the installation file from your PS3's XMB to get the PSX games to work.
No PS3, then, you're not getting it to work. Not all games are compatible with the current version of the emulation, and support for more games will be added eventually. But, all three of my games,
Jumping Flash!
Jumping Flash! 2
Dino Crisis
All work fine, so I don't care. I'll probably get jet moto for the nostalgia.