If they're DLL files you just put them in the "Plugins" directory of your emulator's home directory..
So if for example you have an emulator at C:\psxemu then your plugins go in C:\psxemu\plugins
Practically all emulators come with a plugins directory that you can just drop files into.
Then load your emulator and go to your options menu, there should be a tab or some sort of section for Plugins, where you can configure the default plugin for Video, Sound, Controllers, etc.. Sometimes they are also maintained seperately, so in the video options submenu you would only see, and configure your video plugins, while over in the sound menu, you setup your sound plugins, etc etc..