Does anyone know what to use when trying to filter out radio station interference?

Since your device isn't a radio, you shouldn't be hearing a radio station on it. It could be that the station is having a problem with their transmitter and they may not know it. You should call them first to report the problem; they may come out and investigate it or they may be attempting to correct it already. They are required by the FCC to eliminate problems such as yours. If they don't respond well to your complaint, contact the FCC and file a report/complaint with them.

It sounds like you have some bad cables going from your video to your PS2. Since you did not tell us how you have your PS2 attached to your TV, I'm going to attempt to give you some suggestions.

First, both your TV, and the PS2 is what is called a FCC Part 15 device. This means that they need to be able to accept interference from external sources, and cannot give out interference. How ever there are several ways a TV signal from a gaming system can get interference.

I'm going to assume the interference is not electrical. This means that there is a radio signal that is getting into your video portion, or into the RF portion of your TV, and your TV is attempting to decode it. Mostly this is caused by an unshielded wire that is cut to the wave length of what you called "That radio station." Essentially it is acting as an antenna, and bringing the RF signal into your device.

Now there are two ways to hook up a PS2 to a TV. If you have a modern TV, you are using RCA cables, and hooking one to the Video signal, and either one or two for the Audio signal. The RCA cables for the Video do need to be shielded, and rated for Video. The other way is using a converter, and hooking an antenna cable to the TV. Usually this is used if you have an older TV. (Like pre-80's.) If this is the case, see if you can switch channels. Most of the time they run on channel 3, but sometimes you can change it to channel 4. This might help as well.

I hope you solve your problem.