what i mean is when you want to use epsxe, do you launch it from a shortcut to the executable on your desktop or do you just launch it by clicking the executable directly?
if you are doing from a desktop shortcut, its likely that "start in" field is not actually looking into the directory where the executable is located, and when that happens the emulator will not be able to detect any plugins and in some cases the BIOS as well, it ends up looking on the desktop for them. basically when you try to configure the plugins it will give you that message about it not being able to find them.
right click the shortcut and select "properties", then look for the "start in" field and modify it so it is looking into the correct directory that the executable is stored in.
edit- if you still need help with doing what i have suggeted just read over the thread below because the user in there was having the same problem i am suspecting you have run into, i included a pic of my shortcut with what area needs to be modified highlighted so it should be pretty simple to fix (dont type in the exact "start in" field shown though since thats my own directory path)
http://forums.ngemu.com/psx-plugin-...epsxe-not-working-something-do-configure.html