Heres a thread
that talks about settings and stuff. Its worth a read over. Lots of good info.
EDIT: I also pulled this from the compatability list. it says it works with pj64
WWF: No Mercy
Emulator Version: Surreal 1.0
Rom Version: Unknown
Rom Settings: Unknown
Comments: 1964 Take’s a long time to load.
1964, Crashes/ Locks up Xbox
Project 64, Works with no major glitches or texture problems.
UltraHLE, Not Tested