yes different emulators work with different games, some are more compatable than others and so on...
i personally have 7 different emulators all configured and ready to go, so theres no game i've come across that I can't play 
If you wish to continue using ePSXe, try using different plugins that you can get from here;
Code:
http://www.ngemu.com/plugins.php?cat=1&os=win32&type=gpu
if still no luck, try a different emulator altogether, but I'm pretty sure that with a different graphics plugin it'll work 
hope i was helpful