I've seemed to have stumbled on a way to fix a bug I've encountered that may be useful for others with a similar problem in other games.
While playing Megaman x4, everything runs perfect up until the title screen where the title song plays but keeps playing right into another XA channel which continue playing more XA channels until you press start to skip it. I determined this by using the sound status toggle (divide/ key) that shows the XA queue keeps playing until start is pressed.
Anyway, by playing with the different command options I found using -R "Use D3D reference rasterizer" it seems to solve the problem. The titile screen intro plays and stops the way it supposed to. Yahoo!
I don't know what D3D reference rasterizer does, maybe someone can explain it but it solved the bug. So if you have the same problem with other games try it out. And for pSX Author here's something for you to check out. Hope this has been helpful for all of you.
BTW. If you want to use command options just create a shortcut of "psxfin.exe" go in the "properties" of the shorcut file. In the target cammand line just add the options you want to use. Mine is set up this way