If you use the nightlies as is it should work, if you are just integrating the .exe into your setup you need to download assets and put them in the asset directory.
http://buildbot.libretro.com/assets/
I've tried redownloading the assets, using newest exe build, no dice. Hard crash on startup whenever I set the menu to use xmb.
Also, I can't get the savestates to work with Beetle PSX. Hard crash either straight after BIOS screen or before first loading screen. Only tried US version of Suikoden, anyone else having luck with them?