I downloaded the ePSXe and got all the programs for it. I run the program and go to RUN-EXE and the screen goes blank then a message appears saying the game is not an EXE file. It is actually a ECM file I believe. Does anybody know how to change it to an EXE file? PLEASE HELP ME

Not only do you have the wrong forum, I'm pretty sure you're on the completely wrong site for such a question (since to the best of my knowledge ePSXe doesn't run on the Zaurus, and has nothing to do with OESF...)