You should be able to run it from a savedata, if not then try the following:
Download and install arkMenu (
viewtopic.php?f=58&t=44029).
Once you have the menu running press select, a menu will show up with a bunch of options.
Select "Scan save data entries" and press right to enable it.
Press select to go back to the main menu and press circle to restart arkMenu.
Once arkMenu has restarted it should detect your psx game in any savedata.