you should add it in windows; In your control panel there is an icon for game controllers. Then press add there to add the right device. If it's not in the list, you should download a driver for it.
After that's done, you should be able to choose it in ePSXe.
if it has no more than 4 axis and 4 buttons (POV/HAT switch doesn't count against this) you can also add it as a custom generic joystick under game controllers if you cannot find drivers. There is a toggle for if it has a POV so use that if you have a POV or HAT switch. Axis beyond the first 2 can be a second control pad (2 axis) a throttle (1 axis) or the "twist" z axis on some nice joysticks like the Sidewinder Force Feedback Pro (1 axis). Find a driver if you can, tho, as this generic driver sucks.