If it extracted without errors then it downloaded correctly. As for it giving you errors you might try playing around with some of ePSXe's settings to see if it works with different setups. You might also want to make sure you're using "Run ISO" and not "Run PS-EXE" as those are 2 different things. Using a program called Daemon Tools and mounting the cue file to one of it's virtual CD/DVD drives and running it in ePSXe that way might also be another option.
