Implicitly here:
IMPLEMENT_APP(Pcsx2App). This is a wxWidgets macro which "prepares" and starts everything. However, unless you want to explore how wxWidgets works internally, the implementation of this macro is probably not the best place to start exploring PCSX2.
The main PCSX2 application is a GUI application, and those are usually event based (when this button was clicked, do this function, etc) rather than a linear series of calls. On top of that, it uses the wxWidgets framework for events and UI (because it's cross platform), which is similar to but different than windows.
On top of those, it uses threads which are sort of independent programs which execute concurrently, but still communicate between themselves. If that's not enough, some parts of it are written in assembler and not C or C++, and the list of stuff which is not "normal" for most C++ application is way longer.
Bottom line, PCSX2 might not be the best application to analyze "from the beginning". Your best starting points would probably be trying to follow menu commands. You can pick a menu item name in PCSX2, then search the code and find the function which handles it (even this might take quite a while). It probably won't be too easy to follow deep though, because much stuff, even internally, is asynchronous using events rather than sequential series of commands.