On a physical PS3, simply sign in to PSN and launch the game. It will prompt you to download the update automatically.
Field Report: Killzone 2 "PKG UPD" (Software Update Protocol) killzone 2 pkg upd
If you’re playing Killzone 2 on RPCS3 or a jailbroken PS3, install the PKG update without hesitation. Just don’t expect 60 FPS or online play. On a physical PS3, simply sign in to PSN and launch the game