After a few hours finally got this baby working. Using my Saitek Controller to play these PSX games.
Recording and Playing makes the video laggy. Otherwise is smooth if you got a decent Dualcore PC.
EZ Way: Extract and Play
Note: You might still need the dependencies in the DIY tutorials and also configuring the Emulator.
Otherwise Tutorial I used to make it work on ubuntu: http://ubuntuforums.org/showthread.php?ta2021