So pony fucking is not so bad, after all.
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.
Yeah the battery isn't expensive. You could go for a cheap Chinese controller replacement but they are obviously more expensive than just the battery.
Still cheaper than official controllers though
Spoiler warning: