First off, seeds, you are going to need the PlayStation 2 network adapter. This connects on the back of the PS2 where the hard drive bay is. If you don't have that you won't be getting the system online. You should be able to find it anyplace selling PS2 stuff or (more likely with the move to the slim model) on eBay.
Once you have this connected just insert the starter disc that comes with it and follow the instructions included to set things up.