First what type of PS3 do you have?
If you have one of the newer ones eg: 80Gb version you might as well stop now as that version does not support the FFXI 08 Collection.
If you have one of the first release generation PS3's with the actual PS2 components then continue.
First thing I would suggest is make sure all your Firmware updates are current.
If you haven't already you will have to download the PS2 Emulator software from the PS3 online store (it's free) just browse thru the various menus on your playstation 3 in the store to find it, I don't remember what it's under at this time.
After you install the emulator all you have to do is pop in the CD's and install as normal. There is nothing fancy about the PS3 after you installed the emulator software and will act like a normal PS2 with games.
So pop in your disc and click the Disc looking Icon that says "Playstation 2 Disc" and your off.