http://www.mameworld.net/easyemu/epsxeguide.htm
has a good guide on how to get things up and running on epsxe.
things are a touch out of date tho......
nolonger need CD mooby to mount a ISO as a CD-rom drive.... epsxe reads them directly.
the versions are out of date... I'd suggest 1.6.0 for most games.... but have 1.5.2 handy because some games (mostly ones by SQUARE) puke on the FMVs in 1.6.0
the GPU plugins are out of date... there is a new PEOPs plugin and newer Pete's plugins... I suggest looking into Pete's D3D, OGL and OGL2 ones.
there is a new version of ePSXeCutor (front end) and I highly recommend using it to control the way epsxe behaves.... ie. per game plugin settings.