Well,
There's a tutorial on this site to set up ePSXe. Also, you could check out pSX if you are more interested in playing the game and less in making it look nicer than it did originally. Either way, I'd suggest grabbing DAEMON Tools. With it, you can mount the virtual disc CUE file that should have come with your BIN file. If you don't have a CUE file, open notepad and copy the following into it.
Code:
FILE "sampleimage.bin" BINARY
TRACK 01 MODE1/2352
INDEX 01 00:00:00
Copy the BIN file name over "sampleimage.bin" and then save your file. Rename it the same name as your BIN file but with the extension CUE.
Once you've mounted your disc image, it's easy to direct your emulator to the disc for the emulator to read the files.
If you have any more questions, just ask.
Good luck and happy gaming,
manaman