I don't know where they're stored, either, but I'll try to find out for you.
<b>Edit:</b>
Bingo, I found out where the settings are stored.
HKEY_CURRENT_USER\Software\Vision Thing\PSEmu Pro
You can delete them if you wish. They'll be re-created once you open ePSXe and reconfigure everything.
<b>Double Edit:</b>
If you want to delete every single epsxe registry entry, here are the locations:
HKEY_CURRENT_USER\Software\epsxe
HKEY_CURRENT_USER\Microsoft\Windows\ShellNoRoam\MUICache (there's only one entry of epsxe in there)
HKEY_USERS\S-1-5-21-1606980848-706699826-1202660629-1003\Software\epsxe
HKEY_USERS\S-1-5-21-1606980848-706699826-1202660629-1003\Microsoft\Windows\ShellNoRoam\MUICache (there's only one entry of epsxe in there)
*phew*
Hmm, for some reason the second registry key (with that Microsoft Windows) goes to a new line. Ah well. It's supposed to be one line.