Yes I have had the PS2 working fine with Arduino Megs. I used it on my port of the phoenix code to the Arduino mega. I used the PSX library code from: http://www.billporter.info
Normally if you supply power to the receiver it should show two lights. One solid and one blinking, until it connects with the transmitter.
The code for the PSx library enables the built-in weak pull-up resistors on the processor board. With some of my Lynxmotion receivers this has been enough. On others I ended up soldering in a pull-up resistor from +5v to the DAT line.