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you cant
No it can connect with a ethernet cable to your modem or router
You cannot connect a Dualshock 3 to a PS2.
Your thinking about the PS3 not the PS2. The PS2 can not connect with the PSP as they don't work together
If nothing else is connected to the modem you can use a ethernet cable to connect the ps2 to the modem and the internet. If you also have a PC then you need to put a router between the modem and PC and also connect the PS2 to the router which will allow both the PC and PS3 to work off the same modem