Chances are if you tried to run ePSXe directly in an operating system it isn't designed for, the OS would tell you the program you're trying to run isn't designed for it. However, that's entirely up to the OS, and if it actually tries to execute the program it could well be capable of anything, most likely either crashing on a protection fault or locking up the machine.
You can try running ePSXe through an emulation layer or Win32 API implementation on your OS though; I've seen reports that ePSXe runs okay in wine under linux, for example.