what is the difference of using 7zip and winrar in extracting files ? cause i used winrar in extracting it :c
7zip is allaround better/simpler, and what is giving you the error, the single archive you downloaded or the split archive inside the one you downloaded?
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.