The sound is a little messed up in FFIX, it's possible I think to have sound, but messes up other sounds, like frenchaddict said. Personally I just suffer with no FMV sound, it's no great loss.
Also, to remove games from the PSOne folder go to this location on your device:
My Device/Windows/Start Menu/Programs/PSone Games
In that folder you'll see all the game shortcuts. Delete the ones you don't want anymore and they won't appear in your start menu. But as soon as you re-load to game, the shortcut will be back.