Your previous thread was locked due to blatant piracy, and you asked the same question there. I'll answer your question, but afterwards I'm going to lock this thread.
Right click your ePSXe shortcut>properties>shortcut tab. Target specifies where the shortcut leads to - command line args are appended to the target. In the screenshot, argument "-d" is in place (just for example, -d isn't an accepted argument in ePSXe).