You'd need to enable it. Go to the Sharing preference pane, then click the Internet tab. I'll assume you have a wireless connection from router to MacBook, so you'll want to 'Share your connection from: Airport', and then 'To computers using Built-in Ethernet'. Then click Start. I don't know anything about the PS2's network config process, so I can't help there.
Why not just plug the PS2 into the router (if the router supports a wired connection) ?