In the Playstation 2 as DVD player saga, there was one tricky bit. To enable 16:9 and progressive scan, you have to start a DVD, hit “stop” twice, and then go to the settings menu. If you don’t hit stop twice, the 16:9 and progressive scan options won’t even show up.
And I believe this is only available on the newer, smaller PS2s.
The good news is that Sony actually has a knowledge base article on this on the PS2 support web site.