If you're fortunate enough to have a modchip, Swap Magic, or HDLoader/HDAdvance, and access to a DVD writer, the easiest way to get up and running with SMS is to download the DVD .iso image from the SMS Media Player website, and burn it to a blank DVD-/+R.

Refer to your DVD writer application instructions for how to burn ISO images.

After you have burned your DVD, put it into your modchipped PS2 and press reset... that's it.