Yes, it works perfectly well w/ePSXe. I have one and have used it w/ePSXe and had no problems, even the rumble worked well. I stopped using because I didn't like the D-Pad. But it works fine w/ePSXe as far as setting it up and using it.
does you controller work in PC games? If its connected to your soundcard gameport then you need to install a driver for it. Go into start menu/settings/control panel/gaming options and see if your controller shows up in there.
If it does then you should be able to go into ePSXe controller config and highlight a button's assigned keyboard key and then press the button on your controller to set it to that button.
make sure your controller works with directx by running dxdiag.
then you can go into epsxe and setup the controller. set it to digital/analog and click on one of the button spaces and assign your preferred button. then assign the rest of the buttons. once you have finished that, you can assign the rumble settings.
im not as sure about these, but i think big:sine and small:constant might work..
i know i went into more depth about this a long time ago so maybe you can try searching old posts on this board for more detailed info