@SonicX: And I think you should give advice rather then mumble crap. How do you suppose to know that he only wants to play psx games on his gp2x?
back on topic: Well, I really don't know what you might have done wrong. Have a look into the wiki. The psx emulator is rather experimental as you might know and will probably hang a lot depending on what bios you are using and if you have a compressed iso image or not.
I can't really help a lot as I am not really that interested in psx emulation and never gave it more attention then a quick run...