You need a PS2 network adapter, which can be purchased at any place that sells Playstation games.
If you already have that, you need an ethernet cable that can reach from you computer's modem to the network adapter that you have attached to your PS2.
(An ethernet cable can be puchased at any computer -NOT VIDEO GAME - store. The length u buy will depend on how far your computer's modem is from your ps2.)
Then once you have all that, u need to connect the ethernet cable from your modem to your ps2 network adapter and your done.
I suggest going to playstation.com and reading their section on how to set it all up, it's very thorough and helpful...