You need to obtain the Playstation Bios and put it into a bios folder inside the ePSXe folder.
Then in the ePSXe options browse to the location that you placed it.
The Playstation bios (schp1001.bin being the most common), is a copyrighted rom so in line with this forums AUP, we cannot provide links or assistance on how or where to obtain it.
Google might help.
Note: There is an extensive guide to setting up ePSXe in the stickied section at the top of this forum.
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