Don't place the BIOS files in a sub folder within the BIOS folder!
It's very important that you match the above screenshot on your end. Download the BIOS if you haven't already, unzip it, and drag its contents to the BIOS folder. Note the path where the BIOS folder is located.
If you installed PCSX2 with an install wizard, you'd open it by going to your Start menu (your programs list) and open up PCSX2 there. You might find better ones out there if you Google around. Note that you don't have to stick with the plug-ins that come with PCSX2. This controls the HDD (hard disk drive) and Ethernet emulation.