try running psymake using a command line ran as a administrator
ccpsx commands are in makefile.mak, what "psymake" do, is to run the commands on the makefile.mak file, let's see what a basic makefile runs:
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all:
ccpsx -O3 -Xo$80010000 main.c -omain.cpe,main.sym,mem.map
cpe2x /ce main.cpe
the -O3 paramenter, is the option to optimize code, so you have a smaller output; there's three other more options which are -O1 and -O2, -O3 being the maximum optimization, the other option is not having it

about the -Xo$80010000, i have to check the pdfs once more to remember what this do, i assume that it specifies where to start the ps-exe used ram values from, since the psx kernel needs to the first 16k (from $80000000 to $80010000) i'll update here after i read
the follow up parameter are the source files to be compiled, in this case just main.c, you add more by separating them with spaces, for example:
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ccpsx -O3 -Xo$80010000 main.c game.c effects.c -omain.cpe,main.sym,mem.map
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ccpsx -O3 -Xo$80010000 main.c -omain.cpe,,mem.map
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cpe2x /ce main.cpe
the /ce paramenter creates an european ps-exe, /ca would create an american ps-exe, if you use /cj it would create a japanese ps-exe, opting out that parameter will default to create a japanese ps-exe
the third parameter is the cpe file you want to convert to ps-exe