(Sorry I didn't get to this in a while.)
I just tried opening an ISO file along with the cores and everything. The emulator is still saying that it couldn't load the content. Do I have to put the ISO file in a RetroArch system folder or something like what I had to do with the BIOS?
Check to see if RetroArch is detecting the Bios files, load the core and go to information>core information and see if it says PRESENT or MISSING.
What core/system and file type are you trying to run?
THE BEST METHOD to run PSX games (and everything else for that matter) is via Retroarch - http://buildbot.libretro.com/nightly/
If you have any questions on how to set it up on Windows please feel free to ask, its very easy.