Step. 1 Download SonyPS3eMu 8.72.0_Setup.exe here
Step. 2 Click or run the application, after you installed the application will have a shortcut on your desktop.
Step. 3 If you have previously installed the emulator you need to download the SonyPS3eMu 8.72.0_patched.exe (to play a new games like GTA 5.)
Step. 4 Run the shortcut on your desktop or the emulator.
Step. 5 When you first open the application you will asked for missing/bios files, you need to click on "YES" and will be redirected to bios dowload page.
Step. 6 Why need the bios? Because you cannot play for a new games. You can download it seperately. After downloading the bios you can run it to same folder. (Example Path C:\Program Files\PS3 Emulator\) Run again. Done!
Step. 7 Your gaming like a PRO. Enjoy!