So it looks like that you are trying to install ePSXe.
Below is the reproducible way which I tested on clean Ubuntu MATE 20.04 LTS VM:
# prepare directory
mkdir -p ~/Software/epsxe
# download ePSXe
cd ~/Software/epsxe
wget http://www.epsxe.com/files/ePSXe205linux_x64.zip
unzip ePSXe205linux_x64.zip
chmod +x epsxe_x64
# install dependencies using APT
sudo apt install libncurses5 libsdl1.2debian libsdl-ttf2.0-0 -y
wget http://archive.ubuntu.com/ubuntu/pool/main/o/openssl1.0/libssl1.0.0_1.0.2n-1ubuntu5.3_amd64.deb
sudo apt-get install ./libssl1.0.0_1.0.2n-1ubuntu5.3_amd64.deb
# install libcurl3 locally by unpacking deb-package
wget http://archive.ubuntu.com/ubuntu/pool/universe/c/curl3/libcurl3_7.58.0-2ubuntu2_amd64.deb
dpkg -x libcurl3_7.58.0-2ubuntu2_amd64.deb /tmp/libcurl
mv /tmp/libcurl/usr/lib/x86_64-linux-gnu/libcurl.so.4* .
# run ePSXe specifying path to the library
LD_LIBRARY_PATH=$HOME/Software/epsxe ./epsxe_x64
to get
I prepared desktop file launcher with single long command below:
cat <<EOF > ~/Desktop/ePSXe.desktop
#!/usr/bin/env xdg-open
[Desktop Entry]
Version=1.0
Type=Application
Terminal=false
Icon=mate-panel-launcher
Icon[en_US]=mate-panel-launcher
Name[en_US]=ePSXe
Exec=env LD_LIBRARY_PATH=$HOME/Software/epsxe $HOME/Software/epsxe/epsxe_x64
Name=ePSXe
EOF
chmod +x ~/Desktop/ePSXe.desktop
Note: you may want to change $HOME/Software/epsxe path to fit your needs.