ya, la captura que he puesto es la del plugin por defecto, pero supongo que tendras que meterte en esa pantalla y asignar el volante y los pedales a los botones, no? O directamente no has configurado nada?

con lo de la musica, aqui tienes una explicacion:

"the game plays fine, but there's no sound! (or, there's sound, but no music)

* make sure your speakers are on and that your computer's sound works in the first place
* in ePSXe, make sure the top 3 boxes are checked under Config-->Sound
* some games have CDDA audio. in this case you'll have to play off CD and have the analog cable attached from CD drive to sound card
* CDDA audio doesnt work with ePSXe's "run ISO" command. you'll have to load it using Mooby's CDR plugin. furthermore, if it's a bin/cue image, you cant simply run it with the bin. you'll need the cue file as well to tell the emulator where the tracks are."

Por lo que debes usar el mooby plugin, y luego le das a configurar y le subes el volumen del CDDA
Veamos si asi te sirve

salu2