What sort of internet connection do you have, slammer? Dial up or broadband (cable, DSL, etc.)?
If you are on dial up it almost isn't worth the bother- not many games support it any more. But, you would connect your phone line to the phone jack port on the back of your PS2. You would then have to set up the connection settings on the PS2 using a game that has online- they all have the connection set up routine on there.
If using broadband you would connect using ethernet cable from the modem to the ethernet jack (it's a bit bigger than a normal phone jack) on the back of the system. Preferably, you would want a router here to share the connection and allow the computer to go omnline at the same time. You would then go through the set up on the PS2 as I said above.