skullpoker is very much correct if you do not close ePSXe correctly via the main gui (hit esc if in game to bring you back to the gui) then it will still be running

If you do close it while not in the gui screen, i.e. while on the game screen, then to close it fully you need to use Task Manager to close it (ctrl+alt+delete and find task manager there)

The above could be causing all sorts of problems, p.s. it may even be preventing you from running newer versions of ePSXe