You might want to play with the command-line options. At the cmd prompt, enter >psxfin -? and you get a whole screenful of options. One or more of them might help.
Quite a few arcade games are protected in an attempt to stop the bootleggers making copied arcade games. And more lately to try to stop it getting emulated.
Looks like you are using Pete's GPU plugin. I have never used epsxe, but I'd expect you should be able to change what plugins are being used (or none).