just copy the unzipped/downloaded files to the 'plugins' folder in your emu directory, then select it in pcsx config.
.....actually, try these plugins:
D3D renderer 1.11 [PAL frame limit=25, 30 for ntsc] SAPUcdr 1.0, eternal spu 1.4
the peteogl2 works better with epsxe, in pcsx i found it to be slow loading and framerate varies too much [smooth then slow motion on my 512mb 9500GT]. if you do a google search for "D3D renderer 1.11" download [or "gpuImpactD3D.dll"] you'll find it.