Do not read this if your PS2 is going to be plugged straight into your broadband modem! in this case, the PS2 is naked on the net and you do not have to worry about firewalls and ports and other difficulties.
For the rest of us, with small home networks, we may have to worry about these things.
The first critical point is how good the NAT implementation is on your home router .. NAT is the name for the procedure to map internal IP addresses to traffic on the outside, to the internet. many routers have frequently updated their firmware to fix problems with their NAT implementations .. and these problems can be subtle, never causing a problem with internet browsing, but often causing problems with other more unusual software .. especially games, video and so on.
Port opening may not be necessary unless the game you are trying specifically mentions it, or, problems with playing behind NAT routers and firewalls..
Assuming you have first updated your router firmware to the latest, and the problem has not vanished (problem being, either, inability to "connect" from an online ps2 game, or, certain game functions not working), then you have to experiment with opening ports or turning the PS2 port on your router to a DMZ port. A DMZ port should be equivalent to a naked IP on the net -- the device gets all traffic, and nothing is blocked in either direction -- but still, this function may not be working properly on your router, especially with old firmware.
The other option is to OPEN or MAP or FORWARD (they all basically mean the same thing) ports from the outside, to your PS2 IP address.
All routers have some kinds of online functions to enable mapping of a range of ports from outside to any given internal IP address. If you investigate the manual for the router, you should find the correct procedure to do this. Note, if you also have a PC internally, forwarding ALL ports to the PS2 may break some PC games or other unusual functions (but not basic web surfing).
Good page with screenshots of router configuration panels
this page on setting up WINMX has screenshots of several popular routers. Refer to these screens to recognize how to open ports on your router.
Page with port forwarding details on over a dozen routers
A helpful page on port forwarding for some tricky routers (the 2Wire homePortal, the Arescom MSN modem, the Cisco) is here
http://www.u.arizona.edu/~trw/games/nat2.htm ..
A longer page Specifically for MSN Arescom customers is
http://bespin.org/~merwin/arescom/
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