ePSXe will only shut down using the 'file' 'exit' command. If you click on the 'x' in the corner of the window ePSXe will still be running in the background.
You don't need to restart the PC. Just hit Ctrl, Alt and Del together to bring up your running processes menu. From there you can select anything and tell windows to close it.
Not sure why its not running at startup as it sounds like FFVII is booting ok once its running in the background. You could try running it in a window if you're not already, or alternatively hit Alt and Tab a couple of times to bring it back into focus. Could be its a video initialisation issue so perhaps try a different video plugin.
If it wasn't running at all then I would have gone for it being a bios mismatch, as it is it seems likely its some kind of video problem either with the plugin you're using or your graphics hardware.


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