ln -s /home/me/Program\ Files/ePSXe/start_epsxe.sh /home/me/Desktop/ePSXe

start_epsxe.sh:

#!/bin/bash

# Put in EPSXE where your PSX folder is located.
# Here I have a folder called ePSXe in my username's desktop.
# Folders are CaSe SeNsItIvE. 
EPSXE=/home/me/Program\Files/ePSXe

# Leave the rest alone and in the future, always double click on this file 
# to start ePSXe.
export LD_LIBRARY_PATH=$EPSXE
cd $EPSXE
./epsxe
chmod 666 $EPSXE/cfg/*.cfg $EPSXE/sstates/* \
$EPSXE/memcards/*.mcr $EPSXE/snap/* 2>/dev/null