I normally play on my handheld because it's easier to play on-the-go and there's no sitting around on the computer.
If you're looking to do challenges, I highly recommend using an emulator. It's faster and you can screen cap your progress without having to type too much.
And (Absol FTW!) ;)
I figured that was the way to go. I've just had some bad experiences with them. :( I can never find a good working one. And yes Absol ftw favorite pokemon since i first tried him :)
The best working emulators that most people use are VBA and DeSMUME.
They've never failed me.
But if you're having problems, it could be a bad ROM.