The PS2 version of PES6 Had the International Challenge mode, which allowed you to play through a fictional qualifying tournament for the World Cup, in the zones of Europe, North, and South America. PES 2008 on PS2 had the more realistic qualifying campaigns for all regional tournaments... in Europe was the option of going through the exact same qualification process as EURO 2008, with all nations in Europe included, however, only those teams in exhibition mode were available to play with.
Both these game modes in PES6 & 2008 allowed you to pick your squad. At the qualifying stage you got to pick players before every match, and come the finals of the World Cup in PES6, or regional tournament in PES 2008, you picked your full 23-man squad.
Brilliant game modes, I think they should have kept the latter, also with the chance of qualifying for the World Cup. There was always the interesting point over the non-playable 'smaller' nations... if the team data was there, why couldn't they be fully included in the game?