1st you need a PSN (Playstation Network) account. these are free, just sign up. The Killzone 2 content costs money, so you'll need to input either a PSN gift card number, or a credit card/debit card number. once that is done.. go into the PSN store, find the content and download.
did I mention you need a broadband connection? wired or wireless, doesn't matter as the PS3 has a built in wifi card.