ePSXe doesn't include the Bios. YOU have to rip the Bios from yuor Playstation.
Q: How do I dump a PlayStation BIOS?
A: To dump a PlayStation BIOS, you need a GameShark or Action replay and a PC comms link. To start, you need either a real Caetla module or go to altavista and search for "Caetla" (it's a BIOS replacement for your module, so properly read the included documentation before installing it!!). Now upload "Caetla", and use use the caetla commands for downloading a binary memory image from the region 0x0bfc00000 - 0x0bfc7ffff! Now save the image as SCPHxxxx.bin, where xxxx is your PSX's model number, and ePSXe will recognise it and use it from now on.