Need help configuring ePSXe please

Ok, my problem occurs when I try to do the configuration wizard. After I click the first "config" button, I get an error message.

ePSXe wasn't able to find a psx bios in your epsxe\bios directory. If you don't have a psx bios, enter either scph1001.bin or scph7502 into your favorite search engine.

I downloaded both the 1001 and 7502 bios.

I then tried to enter either of the bios into the config-->Bios.

Neither of the bios resulted any differently when trying to do the configuration wizard.

So I can't even get it to configure. Any Ideas?

Did you unzip the bios into the bios folder for ePSXe?