Welcome aboard and nice set of games to start out with. Games from left to right and top to bottom in each pic: Cadash, Bonk's Adventure, Genpei Tormaden (the first one - Samurai Ghost is the sequel), Ghouls and Ghosts, Legendary Axe II, Ordyne, Dungeon Explorer, Battle Ace, and Mr. Heli; and Granzort, Aldynes, 1941, Legendary Axe, Splatterhouse, Don Doko Don, Heavy Unit, World Court Tennis, and Tiger Road.
Assuming the power supply and a/v cables are correct, you should be all set. Joy stick or gamepad are a personal preference, but those sticks will function just fine in the games you have; the only thing you might need eventually is a couple 6-button pads (or sticks) for games that can use 'em, namely vs. fighters.
P.S. - It wasn't in the right area and has been moved. For future reference, the PC-FX is a separate system and not a reference to the forum itself.