Keep in mind that some games will not work correctly in an emulator, nomatter what you do. If it is a decently well known game that isn't working I'm sure you'll see notices of it on various emulation websites.
Check out:
http://www.ngemu.com/forums/
for tons of great info and discussion.
I second the use of epsxe for a playstation emulator, it is well designed and easy to use.
I'm sure you can find ANYTHING you need to know on the emuforums.