Download the zlib1.dll file
here
But I'm assuming you did that already, just click download zip file.
*put this in the emulator folder, it doesn't, and shouldn't be away from the actual program otherwise it won't launch properly
You can find the bios
here
*Download PSX_Bios_SCPH1001.zip , Scph1000_Bios.zip & Scph7502_BIOS.zip*
Put these files in the BIOS folder of your emulator. *extract these files to guarantee they are read*
Then open emulator, click config, then wizard guide.
If all went well, Voila, your own PSX emulator up and running.
[EDIT]
You will also need to get the plugins for the game to run properly(I forgot sorry)
[EDIT 2]
You can get a plugin pack
here