I use ConvertM by Paul Phoenix (it's on the ePSXe page on psxemu). After opening the program hit Open and select your DexDrive save. After it loads select "Convert" on the lower right and in the dialog that pops up, select "Memory Card Image (*.mc)," then save.
Drop your memory card into ePSXe's "memcards" directory and start ePSXe. From the Config menu, select Mem Card. Click on "Select" and select the memcard you recently converted.
While I realize that ePSXe has native support for DexDrive saves, for some reason very few of the ones I've used have worked correctly, so I always convert to traditional memcard format beforehand. :shrug:
Of course, if your game *still* has problems reading from the memcard, you might want to press F4 just before it attempts to read or write to the card.