First off when downloading any PS2 game you'll need to extract the ISO inside the archive file.
Archives are easier to send over on the net thanks to compression so less GB to download.
Secondly in PCSX2 there's an ISO Selector and in it there's a Browse button.
Hit Browse and then a window will appear asking to go find the ISO.
Choose the ISO and then hit Run and the game will load up.
Occasionally we seperate the archive in parts if it is in parts make sure to select them all and extract them to get your file.
Layin down enjoying the fun unleashing the power of the sun and capturing them all until I'm done.