First off, what model of PS2 do you have, one of the older big models or a slim? If you have a slim it isn't possible at all. Also, is the drive you bought the official one with Final Fantasy 11? If not then the one you bought will not work as you need the discs that come with the official drive for installation.
Now, if you do have the older model PS2 and this is the official drive, installation is very easy. First, take off the hatch on the back that covers the bay for it and insert the hard drive. If you have the network adapter as well this connects to the end of the hard drive and you won't need the bay door. Once you have things all connected again just fire up the PS2 and put the installation CD in.