Cannot load ISOs for use with JPCSP for Mac?

[TechnoSam]

First of all, my specs:

2011 MacBook Pro
OS X Lion 10.7.5 (11G63b)
Intel HD Graphics 3000
4GB RAM

JPCSP Build 3140 (Downloaded from http://www.jpcsp.org/)

So I've read that you have to place the ISOs into a "umdimage" folder. That's great, but I don't have one. I get the 7-zip archive from the official website, and extract it with The Unarchiver. This gets me a TAR archive, which I extract with the Archive Utility (I still have that set as default for TAR files...) to get a single APP file, Jpcsp.app. I've gone through all my Application Support and stuff, but I don't see any kind of related folders (which, how could there be? All I did was drag and drop the app to my Applications folder).

Could someone give me some clarification on how I'm supposed to find/get this folder to be able to use the emulator?

As a side note, I have no doubt that my computer can handle the games. (I'm really only interested in FFVII Crisis Core) I've been been able to play Black Ops fairly smoothly on this machine, even if on the lowest graphic settings.

So yeah, any help on finding that folder would be much appreciated!