Try pressing F4 just before trying to save/load a game.
I don't know about the menu problem though. It probably won't help anything, but try setting your gamepad pro to digital only. That's what I use for gamepad pro USB.
the F4 thing is pretty common. There are quite a few games that require you to press F4 before saving/loading. And its also normal for a game not to boot if you have SIO IRQ turned on. Its just normal. It may be annoying to have to press F4 all the time, but you'll have to deal with it I'm afraid. I read a thread where a few people reported the F4 situation being fixed when they started using a real PSX pad with a PSX to PC gamepad converter. I haven't confirmed it though.