PCSXR runs best with an actual BIOS image.
The emulator is apparently able to emulate/simulate BIOS functions, but in testing it seems like that feature is hit and miss at best. PlayStation emulation generally requires you to provide a BIOS image extracted from the console, and that’s the one thing you’ll probably have to pirate, even if you have your own physical discs.
File, load ISO, point it to a disc image, and play. The Mac OS X build is available in binary form, and mercifully it’s an app bundle too. The original PlayStation can be emulated excellently on Mac OS X using the open-source emulator, PCSX-Reloaded (formerly PCSX).
