1. Open however many windows as you want players (two for Pokemon trading), maximum four.
2. Load the ROMs in the emulator windows you wish to load up.
3. Import save files you wish to load into those windows.
4. Select Options: Emulator and uncheck "Pause when inactive window".
5. Edit the default joystick for each emulator window and edit the controls so that each default joypad is different. Otherwise you'd find yourself controlling all four windows with the same controls.
6. Start doing your linkages. Try to avoid clicking any menus, windows or anything else that pauses the emulation or lags it that it almost halts. This will interfere with any connections established with other windows and the link will terminate.
Depending on how fast your computer is, the speed of each VisualBoyAdvance window may be somewhat slow if your computer is slow. This shouldn't affect the links, however, but you might find a bit of lag.