Beating it is one thing. Doing a no-death run is another. The two parts that piss me off the most. The lasers (Stage 3 I think?) and the final boss. If it weren't for those I'd have probably achieved a no-death already.
and i bet you are like WHERES MY DAMN ACHIEVEMENT?!
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.