With ePSXe, you need a few things:
  • A PSX BIOS image. You need this for any emulator, and while it's illegal to distribute freely, you can easily find one on Google or somewhere similar regardless. Note that the PAL BIOS is different to the NTSC BIOS. So depending on where the game is from, make sure you have the right BIOS.
  • A graphics plugin. This enables ePSXe to render the game on the screen. The most popular ones are Pete's D3D and Pete's OGL plugins, however for older graphics cards there are plugins like Lewpy's Glide2 plugin.
  • A sound plugin. I use SPU Eternal - It produces the most similar sound to the real PSX, in my opinion.

And that's all that you need, honest. The graphics plugins are the most difficult to configure, but hey, if you don't know what a setting does, leave it, and you'll be fine. Most GPUs these days can emulate PSX at full speed.
Also, I would definitely rip the PSX game to an ISO - It'll run a lot more quickly that way.

Hope that helps.