Forenote: This guide assumes that you have already downloaded the fragment iso (http://www.coldbird.net/fragment), and that you have already configured your emulator properly to play online. Also this is not a guide to creating a lobby but rather how to join another player's lobby. If you do not connect your PC directly to your router via Ethernet you will not be able to join a Lobby, unless you follow the steps in Coldbird's WLan guide (http://www.dothack.org/topic/8-guide-how-to-setup-your-nics-for-wlan-in-pcsx2/)
With that out of the way, onto to actually logging in. Load up Fragment in your PSCX2 emulator. The main menu will appear, select Online from it.
This will load and then ask you how you wish to connect. Create a network profile (for a guide specifically how to create a network profile go to this link viewtopic.php?f=32&t=1594). After you create it press select and click it, and then connect. After this one time you won't need to select the save anymore and can just hit connect.
Hit connect from this menu. It will now load to the Altimit screen. If you get the error “Server not found” it means that the server is currently offline and check the forums for more information about when the server will be available. Move the selector up to select “The World” icon.
This will load the character select screen. At this point you can select a character you made for offline or create a new character directly. After you select your character this screen will appear.You then want to select LOBBY from the menu.
Once loaded select the main lobby. You should now see a blank user list screen. Press the triangle button and then select the top option from the list that appears. Then select Main, and finally a list of the different Lobbies will appear.
Select the one you wish to join and enjoy. If you have any questions feel free to ask on this thread.