What version of epsxe are you using? If it's 1.7, what did you choose when changeing the cd? Change CD-ROM or change change ISO? If it's the latter, 1.7 has some bug that does not support changing cd via that option. Use "Change CD", and put your ISO in a virtual drive.
Oh, and you should put this in the epsxe thread instead of here
im not sure if its game-specific or not, it only seems to happen when changing from one disc image to another (not CD to CD, ISO to CD or CD to ISO in other words).
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