Improve error message when a PE `.exe` is loaded (see #3042, #4300)

src/BizHawk.Client.Common/RomLoader.cs

@@ -465,7 +465,7 @@ namespace BizHawk.Client.Common
 				_ => rom.GameInfo.System,
 			};
 
-			Util.DebugWriteLine(rom.GameInfo.System);
+			Util.DebugWriteLine($"{nameof(RomLoader)}.{nameof(LoadOther)}: sysID is {rom.GameInfo.System}");
 
 			if (string.IsNullOrEmpty(rom.GameInfo.System))
 			{
@@ -559,6 +559,12 @@ namespace BizHawk.Client.Common
 					game = gameBak;
 					nextEmulator = nextEmulatorBak;
 					break;
+				case VSystemID.Raw.PSX when ext is ".exe":
+					const string ERR_MSG_NOT_PSXEXE = "Got an .exe which is not in the PSX-EXE format!"
+						+ "\nIf you're trying to load a PE (Windows program), you need to load the unextracted disc image. See https://tasvideos.org/BizHawk/DOSBox for details." // sadly won't be clickable
+						+ "\n"; // extra blank line to separate from stacktrace below
+					if (!rom.FileData.AsSpan().StartsWith("PS-X EXE"u8)) throw new /*NoAvailableCoreException*/InvalidOperationException(ERR_MSG_NOT_PSXEXE);
+					break;
 			}
 			var cip = new CoreInventoryParameters(this)
 			{