You’ll see your system BIOS at the top of the screen.
Once you have the BIOS, place them in “/home/username/.config/PCSX2/bios” and refresh the list. This method is definitely not recommended and probably illegal in your area.
That said, you can find them online to download, too. It gets you BIOS straight from the source, and they’re generally more complete. The best way is to use the PCSX2 BIOS Dumper on your PS2 console to extract the BIOS files onto a USB drive and copy them to your computer from there. You have two options for getting PS2 BIOS. Of course, you haven’t set those up yet, so it’s time to get those in the right place. The next screen will ask you to select your PS2 BIOS. You can change these at any time, and the defaults are fine to get started. Next, it’ll ask you to choose your plugins.