It’s a little tricky because of the nested IFs but here is my answer (confirmed in Google Spreadsheets):
=IF(AND(A2>=0, A2<500), "Less than 500",
IF(AND(A2>=500, A2<1000), "Between 500 and 1000",
IF(AND(A2>=1000, A2<1500), "Between 1000 and 1500",
IF(AND(A2>=1500, A2<2000), "Between 1500 and 2000", "Undefined"))))