(Network Interface Card) Windows will regularly 'poll' it, and if it isn't connected to anything it will return the message that you're seeing.
The NIC must be connected (via Cat5 cable and RJ45 plugs) to a valid networked device like a hub, or a router, or another computer etc., before it will function correctly.
You're connecting to a PlayStation 2, and I assume that you have set up the special PS2 network adapter? Have you ensured that it's properly connected at the back of the PS2? Have you run the set up disk that comes with it?