Setting up Windows version (0.9.8)
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PCSX2 is a complex system and in it's not so user-friendly some of its parts. You must have some basic computer knowledge to be able to set it up correctly. If you are an advanced user please skip the following paragraph. As of now there are two versions of an emulator we can focus our attention on. The version with the old GUI and the version with the new GUI. Each version is ultimately the same PCSX2 but in a different envelope. The programs with new GUI are newer and might be more compatible. Before you continue futher you must determine your version of PCSX2. The easiest way to determine your version is to run PCSX2 and go to the config-configure or config-general settings menu. If you will see some pretty icons like this or in the upper panel you're definitely using the new GUI version. In the old GUI on the other hand there won't be either icons or upper panel (only the plugin selection).
It's also interesting to know the version of your emulator. Some of your games may work with some versions and may be totaly broken with the others. Although the newer the version you'll get the less problems is should contain you must note that some special cases (games) may work a lot better with some older versions. This is because the emulator still is far from being complete and each change in it can lead to the correct emulations for some games yet broke the others. You'll need to use PCSX2 forums, search engine or this wiki (if it contains your game) to find the best version needed if your game refuses to run. See some additional information about versioning here.
Note that at the time of writing of this article the new GUI version still lacks some features from the old GUI so it's recommended that you wait until the new GUI version will be aged enough for you to use.
Basic PCSX2 knowledge
PCSX2 is a plugin