I tried Threads of Fate (UK PAL) last night and chose Rue as my character, and I have not had any problems at all with it (once I had figured out which plugins to use). (Using ePSXe 1.4.0, Pete's OpenGL 1.50, Internal SPU, Internal CDR). Menu appeared fine too. Maybe you want to try a different sound plugin, I did notice that ePSXe crashed once when using Pete's DirectSound SPU 1.10 after you select your character.
