There isn't a single cable that'll do the job, but you can do it with two.
There's an official Sony adaptor you can get that plugs into the AV multi-out. The adaptor's got an S-video out (mini-din) socket, composite video (phono) out socket, L/R audio out (phono) sockets and terminates in another PS2 AV multi-out socket. You could then plug your PS2 component cable into the end of the adaptor and away you go!
I've had a look on the adaptor but there's no model number on it. It's an official Sony one, came in a transparent plastic blister pack with a green card insert, cost about £20 and I bought mine from an Electronic Boutique so they should be freely available.
Hope this helps,
John