Well first you need the proper files set up (letting someone else explain because I am not good at explaining file set ups [ie how to make the md2.dat file properly]).
Next, you need to launch the game in OpenGL mode, which can be done using either a launcher from the misc section in releases or the batch files included with SRB2.
Finally, once in OGL mode, type "gr_md2 1" in the console. Once in game, if set up correctly, the md2's should appear instead of sprites for certain objects.