Did you try the example that came with the library? If you downloaded the PSX2 library from the arduino playground then you need to go into the PSX2.h file and change WProgram.h to Arduino.h and save it. This will allow the library to compile and you can start with the example sketch it came with. The sketch shows you how to read the buttons and analog sticks.
I use the library myself, so I can help you get started.