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Just copy and past it into your MicroSD. That doesn't necessarily mean you'll be able to play it though. You'll need a slot-2 flashcart or expansion pack.
ex-ok i have a cycloDS well i play gba roms but i have to have this slot 2 device called a 3-in-1 expansion pack so buy that which is 20 bucks then your done
I know that it's possible but you need a certain type of flash card (I think that's what they're called). With a quick google search I"m sure you can find out the answer. I don't think you can put gba games on R4. I think you're looking for Cyclods