I have done it before and it works. Played Midnight Club a looong time ago like that on there a few times through the laptop's Ethernet port to the ps2's, but I honestly do not remember how I did it. Use Google, it's your best bet to find anything and keep trying.
Edit: Works for the ps3 also haha, had to figure out a way to get it online since I couldn't regularly with the way the universities internet was configured/protected/setup.
Edit2: Okay wow... re-read the original post... you do mean to use the internet connection right? If so that does work as I stated, for any other means of connectivity, no.