Alright, here is the deal. I am at college right now in my dorm which I have direct internet connection. Now I just switch between my laptop and Playstation 2 to share my connection. I play Socom 2 online (great game) where sometimes I see virtually no lag, but other times i just have to leave because the lag is so bad. Now I was thinking about getting a router to split my connection so I could use my computer and Playstation 2 online at the same time. Would this increase my connection speed? If not, is there anything I can do to increase my connection speed to experience less lag while playing playstation 2 online?

No, it wont increase... in fact it will decrease because you share the same line for your PS2 and PC in that case...
There is nothing you can do to increase the physical speed of a line.

To limit the effects of splitting the connection, get a router that supports faster connections than your dorm room connection speed. I get a 10MB connection at uni, and my router does 100MB, and I see no real slowdown at all.

Or well i dunno you could run the line into your PC and then out of it (if you have the hardware todo this).... and uise some kind of Net Limiter software to alocate how much bandwith you pc uses... Well actually scrap that im not sure. But you could definatly limit the pc bandwith with Net Limiter

Actually that's a good idea reisy. Setting up the PC like that, he may be able to manage his PS2's bandwidth as well.

So the router would plug into a USB port then the connection would be available to the PS2 throught the ethernet/network socket?

They usually work over Ethernet only, but then again everything seems to be going to USB recently... our cable modem is USB and Ethernet, but not at the same time.

In technicallity running a playstation and pc on the same line shouldn't real make a great deal of difference.  10MB is incredibly fast for internet connection speed and your experice lag from the other side when playing online gaming.  A cheapish router should sort you out.