Have you installed PCSX 1.2.4 successfully? Let us know in the comments below which PS1 game you are playing first.
Disclaimer: PS4 emulation is a complex, evolving field. Many "easy setup" links can be misleading or malicious. Always ensure you are downloading software from trusted, official sources. What is the pcsx4124setup.zip File? pcsx4124setupzip link
Since you can't download a BIOS from the PCSX2 website, here's what you need to do: Have you installed PCSX 1