I have this exact same problem. zlib1 is in the right place and I've reinstalled ePSXe and recreated the sstates folder and it has made no difference. I have only tried one game (the English patched Policenauts) so I don't know if it's a problem specific to that game or not. I'm running Windows XP SP3 on an Athlon XP (yeah, I know it's old) and ePSXe is installed under D:\Program Files\ePSXe (if that makes a difference). Any help would be appreciated. I've already lost significant progress in Policenauts because of this bug (thankfully the memory card saves work fine).