It works, but you have to copy the msvcr70.dll file from PJ64 into the Nemu directory. If not, try looking in the plugins section at the bottom, download them all and try each one. If there's still a problem, Nemu has not been configured correctly.
Also: Using Mightyrocket's ini? You'll find it using search, its in the Nemu forum, you might have to look for it. It's a lot better than the one that comes with Nemu. Try that.