Source: EPSXe - Wikipedia, the free encyclopedia

ePSXe also requires the use of a BIOS file dumped from a PlayStation. This is to avoid a legal problem, as it is copyright infringement to provide the Sony's BIOS for download, and unlike some other emulators, ePSXe cannot high-level emulate the BIOS. Technically, the only legal way to use ePSXe is to dump the BIOS from a PlayStation you own.
Exactly as I said.

Whether the recent DMCA law changes things is another matter...

Copying the disc itself isn't an issue - emulators will generally play directly from the original.