That adaptor is exactly what you need. I run one off my broadband connection. It may be possible to run a dial-up connection via a server based computer through to the PS2 but I believe it will be so slow, you will not get any actual gaming enjoyment out of it.
If you do have a broadband connection however, just get yourself a router unless you don't mind unplugging the cable from the back of your PC all the time or once again running a server for your PS2.
My best option was to run a wireless router as I have quite a home network here. I then ran a wireless access point from the PS2's Network adaptor and that way I can play from anywhere in the house without the need to run any cables around the place.
Hope this has helped somewhat.
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