By the sound of it you have the following setup:-
A pc connnected to the internet
the ps2 connected to the pc via ethernet
if so you''ll need to setup "internet connection sharing" on the pc, you can do this my starting the "network setup wizard" in the "control panel"
i used to have the same setup and im pretty sure i needed to use a crossover ethernet cable rather than the one which comes with the ps2, this can be bought from most computer stores



