All yo do is plug your modem into your ps2 and plug it in.
It may have to be configured by setting the ip address etc.
My dc had to be set up like this but I don't have the modem for my ps2 so I'm not 100% sure.
I may get a modem when FF11 comes out, but even then, I heard it will be on the pc as well. I have a hard time going back to consoles since I built my uber-pc.