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Well,
First make sure you've unpacked all the downloaded files by highlighting all parts, right-clicking one of them and choosing to extract all. This process will combine all the parts into one whole (though there may be a couple of different types of files).
Next, you'll need to grab an emulator. psX and ePSXe are both good. The former is easier to use and great if you just want to play a game on your PC. The latter is popular on this forum and has a lot of powerful features that can greatly increase the graphics of a PlayStation game. I'd recommend the psX for first-timers.
After that, you can view tutorials on this site and feel free to ask any further questions you may have. We'll try to help.
Peace,
manaman
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