PS2 is a little tricky to get it all working properly. You need 2 particular things:
Disc mounting software
PCSX2 - emulator (only one really dev'd at the moment - some others are in the pipeline)
A way to save "per-game" settings. Unlike older emulators, each game requires tweaks to get it working properly, thus you really need to save settings per-game.
There are a couple of launchers (PS2Lunch and another one - can't remember the name at the moment) but these have limitations.
My advice to you would be to use GemVoy - a plugin I wrote to compliment GameEx. It'll do all of the above with no hassles. It may take a bit of getting your head around, but once you understand how it works, it's a doddle. Oh and get hold of Daemon Tools Lite for the disc mounting.
If needed, I could knock together a video on how-to - only if you're serious, mind, as it'll take time..