You need to set a path to the .mcr file in the memcard folder. ^^
> There's a folder that says "games" and it's also empty.
Yes, when you download ePSXe there is a folder called "memcards" with an empty folder "games" in it.
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When you open ePSXe, under Config - Memory Cards you should have the following settings:
1 memcards\epsxe000.mcr [x] Enable
2 memcards\epsxe001.mcr [x] Enable
Try this website. Click on "Save Game" button and it will prompt you to save the .7zip file.
https://www.downloadroms.io/playstation-rom-jersey-devil-scus-94907/
> Am I missing something?
Yes, DuckStation.
If you still prefer trying out ePSXe, here is the direct Windows link, just click it.