There are two devices.

The Sharkport (originally made by Interact, now somebody else, may be called the"Xport" now) stretches from your computer to your PS2 via USB and allows you to save files to your memory card.

The more popular device is the Max Drive. One of them comes with a memory card that works on your computer, and another actually is a CD that you can save files to any standard USB key drive (flash memory), load up the CD in your Ps2 and then move the files from the device onto your card (you actually "uncrush" them). This is pretty good, as you can backup everything to your USB key... though ... somehow it corrupted my memory card once and I lost everything on it, including a GTA save... ruining hours and hours of work.