The European FF9 PAL version is slightly harder to get emulating correctly than the NTSC one over the waters, but it can be done - it depends on what your CD drive is capable of due to the extra copy protection on this version of the game.

ePSXe is the emulator to use, but make sure you're also using the P.E.Op.S. PSX CDR Driver for the CD plugin (search Google for Pete's Plugins or something to get that). Set the drive to use etc. correctly, then either enable subchannel reading, or use the subchannel info file in that section and click the Create SBI/M3S to make such a file (with the game CDs in the right drive). If your CD drive is fairly recent and good quality, it should be capable of the latter, which gives far better performance.

And that should be it, run the CDROM from the main emulator window. You might need to tweak the video and audio plugins to get better picture and sound depending on what your PC is capable of, but it's the CD plugin set-up thats important for this game.