WinTV has all you need (I had one).

You PS2 should have a yellow/red/white connector, so you need to put the yellow in guess, the yellow input of your usb device (with the composite adpater that was given to you, I think), and the white/red with an adpater in the audio line in.

Now start WinTV.
Click on "suite", then set up the tuner (ntsc, I suppose), then validate.

Then, to <b>quote the manual</b>:
"To set up an external video source, go into channel configuration (click on Suite on the WinTV2000 or click on Configure/Channels on WinTV-32) and click on INPUT sources. Highlight COMPOSITE and click ADD. Pick your video format and give it a name, then click ADD. Now you have an external video channel."