In reply to this topic:
http://www.epforums.org/ps-exe-files-t43684/index.html
Sprung that is not what he is talking about.
The PS-EXE file is the file that the Playstation uses to load the game that is on the disc. Much like a PC uses a .exe file to run programs or games. In some cases this file is literally a .EXE file. I'm not entirely sure how the ePSXe emulator uses this "Run PS-EXE" feature though as every time I've tried to load a .EXE file off a Playstation disc using this feature all I've gotten was a black screen.