I did see that but I thought the ps1 j version had those areas too the games is still fun even without those areas.
Nope, the PSP ver just has the PSX J material.
The saturn areas were just throw ins.
THE BEST METHOD to run PSX games (and everything else for that matter) is via Retroarch - http://buildbot.libretro.com/nightly/
If you have any questions on how to set it up on Windows please feel free to ask, its very easy.