Does the pad map to the controls ok in the Pad config utility?. You need to click on each button description displayed on screen, then push the button or direction on your pad that you want to use for that function. You should see the text change to identify the button press you've just made.
If you have successfully mapped your controller in the ePSXe pad config utility then also consider that ePSXe allows you to select the type of emulated controller (digital pad, dual shock etc) this will be the drop down menu in the top right corner of the pad utility screen.
I have found that ePSXe will expect different types of controller dependent on the game.
For example, I use a Dual Shock 2 with ePSXe and with most games its fine but some older games like Legacy of Kain - Blood Omen, won't work with it, however if I go back into controller config and set the controller as a PS1 Digital Pad (the one without analogue sticks) it works perfectly even though I am still using the same controller, so you need to use the pad config utility to tell ePSXe what type of Playstation controller you want it to emulate.
Hope that makes sense. If you're still stuck or not sure what I mean then post again.