Yes, with the GeForce2 cards, you have to force FSAA to work in D3D if the program does not specifically ask for it. Such is the case with EPSXE.
You need to go to advanced properties in the display menu. From there you select "GeForce...." tab. Next you would select additional properties buttion from the bottom. The next window that opens up, you should select "Direct3D settings", and click on the "More Direct3D" buttion. The window that opens up has a tab that says "antialiasing".
There should be about 8 diffrent settings, the one that looks the best with EPSXE is 4 x 4 Low detail. For good speed and good picture, the 2 x 2 low detial is also good.
I belive that the best picture is thru OpenGL with FSAA set to 2x. In my humble opinion. Hope that i was helpful!