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A camera seems to be the most common method but the best way is to use a TV-card or a capture card so you can view what's on your PS2 screen in a window on your PC - and you can then make videos or screenshots of whatever you like.
Or if you wanted you could just get a TV card with S-Video or Composite.
Then you could use the standard program or WinDVD Recorder to record and capture screen shots.
But if you do this you would be wise to invest in an S-Video cable as the quality is a huge improvement.