A downloaded 000.mcr from an untrusted forum could:

: If you just need a working memory card, simply run a game in ePSXe and save your progress. The emulator will automatically create epsxe000.mcr (Slot 1) and epsxe001.mcr (Slot 2) in your /memcards folder.

This happens when the file is corrupt or 0KB in size.