Don't select all the parts when extracting, or WinRar will try to extract repeatedly.
Instead, just right-click on one part and choose Extract.
Also, for MegaMan Legends, you have to use Daemon Tools or the audio will cut out after a few seconds.
Here's what you need to do:
Download Daemon Tools 3.47 from here (it's free):
http://www.filehippo.com/download_daemon_tools/?236
Make sure you get 3.47, and NOT the newest one.
First, install and configure Daemon Tools to create a virtual drive on your computer. After doing that you should see a small icon in your system tray that looks like a lightning bolt. Right-click on that lightning bolt, choose "Options", and make sure there's a check mark next to "Analog Audio". <--- very important
Now this time left-click the lightning bolt icon, and click where it says "Device ## No Media", then choose either the .ccd, .mds, or .cue file by double-clicking it.
Now, for ePSXe if you haven't already installed P.E.Op.S. CDR plugin, then get it from here:
http://www.pbernert.com/html/cdr.htm
And unzip the contents to your ePSXe plugin folder.
Now open ePSXe by double-clicking it, and click Config > Cdrom > Select P.E.Op.S. CDR Driver 1.4 > Configure.
For Interface, if you have Win98 or WinME, then choose W9X/ME - ASPI scsi commands
For Interface, if you have Win2000 or WinXP, then choose W2K/XP - IOCTL scsi commands.
For Drive: choose Generic DVD Rom V1.0
For Read Mode: Try Auto Detection.
Leave everything else alone.
Now you're ready to play the game.
Start ePSXe, go to File > Run CDROM.
And your game should start.