CDR config
In the pal regions (Europe, Australia and much of Africa), FF9 had copy protection and thus when you run it in an emulator, you will just get a black screen. There are two was to get this to work on an emulator. The first is to use Subchannel reading (which at the moment, for the life of me I can't get working), and the other is patching.
To use patching, first of all you need the ppf patch files. The ones for pal/UK can be found here. Others can be found by searching google (the site which has them cannot be linked here for legal reasons). The pal/UK patch covers all English language pal versions.
All you need to do then is to extract the archive to the 'patches' subdirectory of ePSXe and enable 'Auto ppf-patching' within ePSXe
FAQ
Q: I'm getting a lot of crashes in FMVs
A: Use ePSXe 1.5.2 or the latest version of PSXeven. ePSXe 1.6.0 is known to have issues in Final Fantasy IX
Q: The in-game text screens are slow after a battle and in the option menu. How do I fix it?
A: In-game menus in Final Fantasy IX are slow because it's hard to emulate the Play station's Frame-buffer in a hardware API. Setting a lower resolution like 640x480 will speed it up. Higher resolutions slow down the menus even more. Having a high end computer will speed them up as well. Alternatively, use a software plugin.