Would it screw up the OS (other than Windows) and crash, Or would it just close automatically? Also, I'm just curious and I have no intention of trying anyways (although I do have an old Mac lying around)
I don't think it would work. Since ePSXe was written for windows, I don't think it would work w/any other OS except maybe DOS. To work w/other OS's it would have to be ported to that particular OS, then it should work.
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.
If you run a windows program in DOS, it'll say that it's a Win32 program.
I can tell you that the epsxe settings are independent of the Windows OS you're running (stored in the registry?). As in if you run it under Win2k, then run it under Win9x, your settings will be different.
You might be able to get it to launch up on a dos as long as you set it to run without the GUI but because practaclly all the plugin use directx it won't be able to work. And because of this its unlikely to work too well using Virtual PC.