I've had this same issue, off and on, with several versions of ePSXe. I never did figure out what exactly causes the issue, but in the meantime save states should work fine, assuming you don't want to do anything else memcard related (the FF8 easter egg, battling friends' characters, etc).
You could even try another emulator; pcsx-r is a pretty good one and (I believe) uses the same plugins that ePSXe does.
"I think that the problem with this video is it is highly derivative of many popular bands within the genre. Although when viewed on its own merits, it does have a deeper groove. However what it has in groove, it lacks in originality. One can't help but be reminded of such bands as Pearl Jam, White Zombie, Suicidal Tendencies and other bands that bear the mantle of so called "Alternative Rock". One is even reminded of Lorie Anderson when she wore curlers. Hehehmhm! This video speaks less to the heart and more to the sphincter. In closing, I think Korn would do well to learn more from -"