ok first of all, i'll have to stop you right here and say that you should probably use a different emulator. reason being, AdriPSX is pretty old. it was sweet back in the day but has since been surpassed. it doesnt support proper memory cards or disc change.
so what do you do? go download ePSXe, PSXeven, SSSPSX, or PCSX.
and when you extract it, use winzip, 7zip, winrar, etc to extract it. DONT drag the files out, actually extract em. this will keep the folder structure intact.