PS2 Online Problem, Please Help!

I recieved a PS2 slim that I won from Ebay today, and it came with everything I needed, or so I thought. I set it up and plugged in the ethernet cable, but when I tried to get online in Killzone it gave me a message saying "No Your Network Settings Found in memory card" or something like that, and thatI needed to configure that with the Network Start-Up Disk that comes with the network adaptor. What disk? I didn't recieve a disk. Is there some other way to do this? All help is appreciated.

i have a friend that comes over to use my internet and when we first set up we had to create a network setting. so impretty sure that u can create the setting on certain games and carry it over to other games.