Haha, I don't actually have one - I'll just collect pretty much anything that is Metal Gear or has Kojima's name on it :-D
I do kinda wish I had an MSX though - seems to be a bit of a hassle to get ahold of. Same with those Sharp X86000 PC's. Those have some pretty sweet games on them too, if you can track them down.
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.