Connecting the PS2 to a DVD player is similar to connecting it to your TV. Most DVD players come with AV (audio/video) inputs that allow you to connect devices (such as the PS2) into the DVD player to be displayed on TV. There is no difference in video quality or performance when connecting the PS2 to a DVD player. One benefit to connecting the PS2 to a DVD player is the ability to record game play using your DVD player's recording capabilities (if available).
Turn off the PS2 and the DVD player.
Connect the square end of the AV cable into the "AV Multi Out" port on the back of the PS2. On the opposite end of the AV cable, connect the red cable into the red AV input on the DVD player. Connect the yellow end into the yellow AV input on the DVD player. Connect the white end into the yellow AV input on the DVD player. Some DVD players may only include a white and yellow input. It is OK to let the red cable dangle as you will still receive audio and video from the yellow and white cables.
Turn on the PS2 and the DVD player. Turn on your television and set to its "Input" or "Video" mode (whichever mode it uses to receive the DVD signal). While not required by all DVD players, your DVD player may require you to change the channel on the DVD player to "Video In" (it may be titled "Aux 1" or something similar). You will see the PS2 menu on your television.