I found this to be a huge problem back in April when I bought mine. Basically the spotty faced numbnuts in the game shop who advised me on it lied.
"just plug it in to the telephone line and it will do it all for you" he said.
Lies.
It comes with an RJ45 cable, standard United States product, no use if you live outside the US. I spent a lot of time and effort getting around this and no joy what-so-ever.
I refuse to pay amother �100 for wireless internet connection, and I do not share Microsoft's vision of a glabal gaming community. I have played X-Box live and it is populated by foul-mouthed teenagers and gangs of yanks. Not to mention the cheats out there.
So I rang Microsoft, US not UK. Their answer was they are not concerned with non-US consumers. If you buy one in the US you are home free - outside the US and you must connect up etc;
So I bought a disc for 99p on eBay and it took seconds to adapt it. Well worth it because the graphics are much sharper.
Oh, and a message for all you "my PS2 looks better than your X360" people out there - The X360 is designed for HD televisions and connection. And believe me, put them side by side and the PS2 looks like a Mega Drive. I know, I have tried out all configurations. Read the small print.
Thank you.