You need to set up the plugins before you can play any games.
Check out http://www.epforums.org/showthread.p...ted-with-ePSXe for a bit more information. In particular you are going to want to focus on Step III.
You are loading the game properly, but you haven't configured any plugins, so it's not going to work.
Also, if you haven't downloaded a BIOS file, that guide will walk you through that as well.