I don't know for the PS2, but i did it for my xbox.
I had to buy some thing called "action replay" and they said it works only with 2 games, happily i had one of the 2 ("Splinter cell") and i had to replace a save game with the "action replay" thingy. That savegame i had to download on a site and it was in fact some executable. I guess that's also the reason why it only worked with 2 games, only these 2 probably could launch such an executable when loading a game.
Works great between, i have lots of old arcade, Neo-geo, Super nintendo, and even C64 games on my xbox HD
Only the most recent Neo-geo games are a little bit less smooth sometimes, all other games are perfectly emulated. But 99% of them are from befor the year 2000, you won't have a chance to launch recent arcade games, they need to much power.