Yes, remove the plastic cover. The adapter will screw in right there. BE CAREFUL though, the screws are cheap and the whole assembly is sort of fragile. The screws aren't grabbing onto much and the whole deal could break easily.

So use care. I would suggest not moving your PS2 around a whole lot after installing it.

Installation itself is very easy. You shouldn't have a problem.

edit: I was unaware of how old this thread was. This person may not think to check this. Oh well.