You'll need to find a BIOS - essentially operating system for the console - in order for it to work. The only ways to get the said bios is to use a debugging cable to hook up your PS2 to your computer or to find it online (which is BTW illegal and against the forum AUP for me to disclose where to get it). So happy hunting.
The other thing that I will say is that unless your computer is on the absolute cutting edge of technology we're talking X850 Platinum XT graphics cards, 64 bit 3ghz + CPUs and a gig or 2 of RAM you're wasting your time. The Dreamcast emulator runs on 2ghz machines and a decent GFX card with slowdown so expect the PS2 emulator to be near unplayable.
Not to mention that the emulator you're using just emulates the CPU and therefore are only useful if you're a developer or play homebrew games so just save yourself the time and effort and just use a PS2. Though if you're really desperate to see a PS2 game run on your computer i believe PS2EMU (Alpha 01) plays very few games and at a significantly slower speed.