Using Xebra:

the XEBRA distribution comes with several executable those are:

XEBRA.EXE: the emulator itself
MCM.EXE: a memory card manager that allows you to edit memory card image files directly.
SIM.EXE: a editor for xebra emulation fine tuning options, that allows you to save setting as a single file for ease of having a configuration for specific games, mostly for advanced users as most games runs fine now.
older versions of Xebra used to come with Arbex.exe which was a version of Xebra that did not needed bios, however as of the 20th june 2015 version, Xebra does not need bios anymore.
The Xebra Interface essentially imitates the way the real psx works, for example choosing a iso or a game cd is the same as placing the physical disc it on drive the original psx. most options such open/close shell, power, reset, start/stop card, loading memorycard image and so work pretty much as they would if you did it on a real console. most of the other options are for debugging or advanced tuning of the emulator.

Setting the bios:

the Newer Version of Xebra comes with its own bios replacement, however if you having problems with a game you can still set the bios by doing the following:

File -> Open -> OSROM image. That will copy the bios file to the xebra directory and renaming it to OSROM (with no file extension). Doing that manually works as well.

Loading Games:

File->Open-> "CD-ROM via SPTI..." for a real CD in your cdrom drive or Daemon Tools emulated drive and select any file on the root of the CD.

File->Open-> "CD-ROM Image..." for an Image file (iso,cue, etc...) that has the same effect as the former but may have problems with CD-Audio and multi track CDs or simply not load at all.

To play you need to use "Run->Power(Run)" or F5, XEBRA supports several image formats when in doubt between a which file to load (cue/bin/mdf/ccd/img/etc) choose the largest one and XEBRA will automatically look for file it needs as long it has they share the file name (game.ccd and game.img for example).

Note: Use latest Demon Tools Lite to load images instead of opening images directly in Xebra for best and most accurate emulation. XEBRA was created to be used with a CD drive and nothing does CD drive emulation better than Daemon Tools. The internal Xebra image loader sometimes has problems with CD-Audio and multi track CDs or not load at all.

Changing discs:

In games that need to change discs, you essentially do the same that you would do on a real psx.

open the psx cd drive with Run->Open Shell.
change the current disc on the drive with File->Open->CD-ROM via SPTI... or CD-ROM Image and select a file on the root of the CD.
close the cd drive with Run->Close Shell.

Setting up controls:

that's the most complicated part of using xebra first choose "View->Controllers..." that will open a popup window with the current settings. the top drop down menu allows you to choose between changing the configurations of controller 1 or 2. the drop down menu below that will let you choose the kind of controller is connected in that controller port.

Credit goes to: Emulation General Wiki