You should configure the PSX Input plugin -- it supports gamepads, joysticks,
and keyboards, and will work with any of those that are recognized as input
devices by your OS.

There are also some quick keyboard commands to access emulator functions:

F1: Save state
F2: Switch to next save slot
F3: Load state
F4: Display state screenshot
F5: Toggle SIO IRQ
F6: Toggle Black & White decoders
F7: Toggle XA
F8: Take a game screenshot
ESC: Return to the main window

Ctrl 1 to 5: Save state 1 to 5
Alt 1 to 5: Load state 1 to 5
Alt 0: Load state from last ESC quit