Instructions
Go to the main menu on your Sony PlayStation 3. If your console is currently off, turn it on. If you're playing a game, press the "Home" button on the controller to exit out of what you're playing and return to the main menu.
Select "Settings."
Select "System Update."
Select "Internet Connection."
Select "OK" to download the latest version of the firmware for your 40GB PlayStation 3 to your console. Once the file download is complete, your current firmware converts to the newest version. At that point, your 40GB PlayStation 3 is able to play PlayStation 2 games.