Do you have a working internet connection? I assume so if you can post here, LOL.
Do you have everything you need, i.e. a modem? (as you can't just plug the cable from the PS2 into the phoneline and have it work).
Are you going through a router or PC firewall? Sometimes they have settings which disallow unknown connections. Try going straight to the modem and see if that works.
Does your ISP require you to register multiple connection devices?
Good luck.