The original ps3's played ps2 games but later models do not. The reason why is that the technology in the ps3 is quite different from the ps2. So the original ps3's essentially have a Ps2 inside it. But including a ps2 inside a ps3 makes it more expensive to produce and hence more expensive for consumers. They decided a lower price point was more important than backwards compatibility.
If you are using the Sony 40 GB model, it doesn't support backwards compatibility so it can't play. This is because it lacks the necessary firmware or hardware to play such games. Check out www.tech-faq.com/can-you-play-ps2-games-on-ps3.html for some tips that might help you out.