|You have the Internet Connection via USB on the Laptop ?|
If that is the case then you need to set up Windows to share that connection via the Laptop Ethernet Port.
An ethernet crossover cable is then use to join the ethernet port on the laptop to the ethernet port on the PS2.
The PS2 will need to be set up to receive a wired connection and this is set up as DHCP, no other parameters should be needed.
If in doubt GOOGLE or use the SEARCH funtion available in these Forums.....................