DNAS error (-612) cannot find DNS server

I'll explain the situation.

I have bought a category 6 ethernet cable so I can play my PS2 Slimline Online.

I am using the PS2 game Champions of Norrath to set up my network since I do not have the normal setup disc that Sony supposedely supplies. Here is the problem:

I select the ethernet cable under the hardware option, then select auto for the IP address and the DNS settings. I test the connection and all is well. I save the settings to my memory card and continue in to the online game.

I connect to the network, then go on to the DNAS authentication were after a while it pops up...

(-612) DNAS ERROR
Could not find DNS server please check network configuration.

I don't know what to do now, I'm guessing I need to fix this DNS server thing but I don't know were to start.

By the way, I connect my PS2 directly to my ADSL modem I don't use a router or anything like that.