I use ePSXe, but I'm not sure on how to use the cheats. I think you have to use pecEDIT, which should have came with ePSXe, start a new file and input or import cheats, like I said, I'm not sure.
Also, check your SPU sound plugin and test and configure. If that won't work, try downloading another sound plugin. This is for ePSXe, I'm not sure how other emulators are setup.