Hello ahsanur and welcome to emuforums.
If you are using ePSXe 1.7.0, you must know the change disk feature is broken with ISOs using this version. Just downgrade to the 1.6.0 version, swap the disks and get back to the newer release.
Cool,Jonc. I just read the first post again and in case of, I add this:
If you want to change discs, just press the echap key, then go to "file" then "change disc" then "iso" then you just have to choose the iso of the following disk of the game you are playing. Have fun!