I didn't see this mentioned anywhere and it took me a good minute or two to figure out that PSX4ALL actually seeks BIOS files following its very specific case sensitive naming convention. for example if you're trying to load "SCPH7001.BIN" it will fail unless it's renamed to "scph7001.bin".
further I think you guys should mention what BIOS you're testing with, because I can get Lunar1 running on scph7001 and scph5501 but not scph1001.. actually it looks like my copy of scph1001 is having trouble booting bof3 too..
also I just figured out that L+R+X+Y+B+A closes PSX4ALL instantly, hopefully that might be useful to someone.