Just like graphics, ePSXe uses plugins for sound. ePSXe also comes equipped with it's own native sound plugin. Select your plugin from the menu, then click "configure" to be brought to the plugin's configuration menu. The good thing about the native ePSXe plugin is that it doesn't need to be configured. Just select it and go. However it may not be the best choice for some games. Done? Click "Next"

Now don't exit the "wizard" just yet. We simply wanted to point out other sound options which appear if you select "Config" and the "Sound". The menu you will see is the screen shown on the right.
This is where you can enable / disable different sounds during emulation. Disabling in some cases may provide a speed up, or get you past an area where a sound locks up the emulator.