http://forums.kc-mm.com/index.php?topic=75863.0 seems like a pretty good tutorial for setting up Dolphin for playing Brawl. I would suggest using the latest development version of Dolphin.
Brawlex and Project M both have (different) methods for adding characters without replacing others. I'm positive that Brawlex doesn't work with PAL isos and I'm pretty sure Project M doesn't either though.