Cold be as simple as an old or slightly wonky .dll
I would google burutter.dll and the first option you get should be a direct link to download it from somewhere like dlldll.com
Grab it, and extract it into your ePSXe folder just to rule out a bad file. What OS are you running by the way.
Hmmm. Not exactly progress, but at least I'm getting a different error message now. I did what you instructed, and instead of the burutter error, I get:
"This application has failed to start because zlib1.dll was not found."
A case of looking for zlib1.dll and putting that into the ePSXe folder? It's endless!
EDIT; Oh, and I'm running Vista on a Core 2 Duo Laptop, 3 Gig Ram, Nvidia 9200M.