Complete list of what you need (from nothing):
1. A Dreamcast + all the normal cables + a TV to hook it up to, of course
2. A controller and at least one VMU
3 (optional). A Dreamcast keyboard
4. The game itself (with serial number/access key which should be on a paper or sticker in the game's case, depending on which regional variant you're using)
5. If using a Japanese version of PSOv1 (or US or Japanese versions of v2) with the original disc, the Sylverant PSO Patcher disc
Then comes three separate sets of options:
1. A Dreamcast Broadband Adapter (HIT-0400 or HIT-0401) + an ethernet cable to hook it up to your home network (the broadband adapter is expensive and hard to get a hold of)
2. A Dreamcast modem (should be included with the console) + a phone cable + a landline phone + a dialup internet service provider -- I really doubt you want to use this option.
3. A Dreamcast modem + A DreamPi setup including a Raspberry Pi, SD card, and a modified USB modem + a phone cable + an ethernet cable to hook the Raspberry Pi up to your network at home (or if you get one that supports it, wifi)
You can find the USB modem for option number 3 for sale here:
https://dreamcastlive.net/shop/ (and on occasion the whole kit too)