Who says its not possible?
OK, well it IS!
First of all make sure none of your buttons are mapped to the Print Screen/PrtScr/SysRq button (its next to scroll lock)!
Go into ePSXe GamePad config, and press that key where you want it, eg on the "Select" button! It should display as "SysRq" Close the config one, and the ePSXe dialog!
Next bit needs a bit of registry tweaking!
Click on Start then Run and type in "regedit" without the quotes!
Navigate to HKEY_CURRENT_USER\Software\epsxe\config\
There is a String value with the name Keys1 (Keys2 if your wanting to map it to the 2nd controller)
Double Click on that and the value will be a long string of numbers like this..
Look through the list for the value 183
Replace it with 28
Press OK, and Close the Registry Editor!
Go into the ePSXe Config, and you'll find it now says RETURN
Voila! Enjoy using the enter key!