That is true, but sometimes people have troubles getting a .gme memcard to work in ePSXe. Maybe its because of the header info in the file. Anyway, you should try it first and if it doesn't work then get a converter from the above link.
or use epsxe executor to import the dexdrive saves from gamefaqs.com.. Thats what I do and it works everytime.. Executor will just create a memcard and then import the save from the dexdrives onto that memcard.. It doesn't really use the dexdrive save directly..