Alright so first, you need the bios. You dont need to know what it is or does, . You just need to know that it is a file you need in order to run ePSXe. I cant tell you how or where to get it, because of legal issues. Just do a google search for the bios file:'scph1001' to learn more about it. If you did have it you would put it in the 'Bios' Folder in your espxe directory.
So now just run epsxe. When it opens, click on the 'config' button. Select 'wizard guide' from the resulting menu. click on 'config>>'
What happens now is you select a single file from the list inside the window to preform specific operations.
The first is the bios; Selct the file by highlighting it and click next. Then select a video plugin ,then audio and so on. Just keep clicking next selecting plugins in the window as you go. Honestly i dont know the difference from one to the next. perhaps someone could clarify. I also dont remember what plugins come with the initial download. It may be that you need to also download video or audio plugins. You'll know this if you get an angry warning message when running the 'wizard guide'
http://home.t-online.de/home/PeteBernert/#Introduction
This page has some of the more recommended plugins. Its alot I know. Like i said this isnt my field so all I can say is that when you're looking for a plugin, check for a recent release date and make sure you have the correct operating system. Download and extract them to the 'plugins' folder in your epsxe directory. They should then show up next time you run the 'wizard guide'.
So I could go on. Just look into this stuff try it out and come back with specific questions, and illl see what i can do.