The game itself can come in a few different formats (.iso, .bin/.cue, .img, etc), but they don't come as .exe. Only the emulator itself should be a .exe.
Assuming you're using a fairly recent version of ePSXe (1.6 or later), after going through the initial setup wizard when you first run it, all you should have to do is click File > Run ISO and then double-click the .bin file for your game. If it just loads to a black screen you might need to mess with your graphics plugins settings, under Config > Video. I'd recommend using the P.E.Op.S Soft Driver for Final Fantasy Tactics. If you don't have it already, you can get it here; http://www.pbernert.com/gpupeopssoftwin118b.zip
To install the plugin, just extract the .zip file to the plugins folder in your epsxe folder. Then you should be able to pick it from the Config > Video menu.
If none of that works, I would recommend maybe trying a different copy of the emulator. This copy here should work fine for what you're trying to do; http://www.emuparadise.me/Sony_Plays...OS+Plugins/104
EDIT: Totally missed the "looks like I figured it out" bit meh.
Last edited by MaslowK; 6th-February-2014 at 02:52.
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