In order to play PS2 games you will need to have Open PS2 Loader installed on your HDD in the OPL+ partition.

Download Open PS2 Loader

• Try first with the official build: https://github.com/ps2homebrew/Open-PS2-Loader
• If the official build doesn't work (like in my case) then you can get a working build from here: https://github.com/SvenGDK/Open-PS2-Loader

How to install Open PS2 Loader

• When Open PS2 Loader starts for the first time it creates the required OPL+ partition
  
  • If you already have the OPL+ partition then skip to 3.

1. Copy OPNPS2LD.ELF to an USB drive and start it using u/wLaunchELF
2. Select "Exit" to close Open PS2 Loader and get back into u/wLaunchELF
3. Go to your USB drive and select OPNPS2LD.ELF -> press R1 -> Copy
4. Go back to the main menu of u/wLaunchELF and open hdd0:/
5. Open the newly created OPL+ partition and paste OPNPS2LD.ELF into it using R1 -> Paste