Just download the installer ( sorry, this hosting doesn't support file > 5mb), unpack exe file and run it. Next instructions will be in README.TXT.

PSXSDK-24.05.12.part01.rar
PSXSDK-24.05.12.part02.rar
PSXSDK-24.05.12.part03.rar
PSXSDK-24.05.12.part04.rar
PSXSDK-24.05.12.part05.rar
PSXSDK-24.05.12.part06.rar
PSXSDK-24.05.12.part07.rar
PSXSDK-24.05.12.part08.rar
PSXSDK-24.05.12.part09.rar
PSXSDK-24.05.12.part10.rar
PSXSDK-24.05.12.part11.rar