Currently playing Metal Slug 1-4 on my Neo-Geo. I fucking love this series of games. Just got done with Metal Slug 1. It only took me 9 credits @level 4 difficulty. Which I don't think is too bad. Time to play the awesome, but laggy Metal Slug 2.
Just remember kids...
Spoiler warning:
OK now play that shit on MAX DIFFICULTY with ONE CREDIT
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.