If you have a game controller then you can also configure it in this menu, though you will need to set it up first. You should now be able to choose your BIOS from the drop-down box in the bottom right hand corner. If you want to play some games without the worry of too many crashes then grab the latest stable version. There are separate versions for Snow Leopard and Lion, as well as some more experimental builds which are more prone to crashing but more advanced in terms of plugin and game support.
Next head over to the PCSX2 for Mac download page and grab the latest version for your operating system. DMG file then double-click the installer and follow the prompts until the install process completes.