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The files you refer to are actually image files of a CD. More specifically, they are the files CloneCD creates. They are considered very good quality rips. Where you put them is really a matter of choice. Some people like making a folder inside of ePSXe and calling it "ISO's" or "Games" and others (myself included) like to make an external folder. I label mine "_Sony PlayStation ISO's" so that I can easily sort the ISO's and ROM's I have. Whatever the case, make it somewhat easy to direct explorer to. You will probably want to load the file in DAEMON Tools and then run the image as if it were an actual CD on your virtual drive.