When programs ask for dlls there are two thing you never do.
1) put anything in the system folder. Always put dls in the app fold if you do not know where the dll was from. Th eapp will look in it;s folder first
2) Always try to find the root install. Dlls are part of installs, its best to see where it was installed from.
in this case burutter.dll is a plugin for the ePSXe so in this case it maybe ok to put it in the system 32 folder.
many times the issue is not the dll but the start path. Did you make a short cut ?
http://ngemu.com/threads/burutter-dll.127397/