UTV supply a USB ADSL modem. This won't work directly with the PS/2, as the PS/2 requires an Ethernet connection (what you've described as looking like a larger telephone connection).
Your simplest option is to replace the modem UTV supplied you with a single device which combines the ADSL modem and ethernet router into one package.
N.B. some devices sold as "broadband" routers require a separate modem with an ethernet connection. If you get an ethernet router (LinkSys, NetGear, etc.) make sure it has a built in ADSL modem.
Alternatively, if you have a PC, you can connect your existing USB modem to your PC. Then Enable Internet Connection Sharing in Windows; this allows your PC to act as as a router. Then buy an Ethernet cross-over cable to connect your PC to your PlayStation (this assumes your PC already has an ethernet connector; if not you will also need to buy an ethernet card or USB ethernet adapter for your PC.). This will be cheaper than buying a new combined modem/router, but the disadvantage of this is that your PC will be have to be on whenever you want to use your PS/2 online.