Due to a firmware bug in the first series of PlayStation 2 hard drives, Final Fantasy XI won't run on consoles equipped with such a drive. 1820 models of the drive, carrying the serial numbers 1102911-1103510 and 1103711-1104930, are reported to prevent the game from running smoothly. The models mentioned above are internal drives, which are placed in the expansion bay of the console; external models are working properly with Final Fantasy XI. The error is said to occur during the installation process of Final Fantasy XI on the drive.
For assistance, you can contact Sony Computer Entertainment's support here.