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This is for Pokemon Ruby Save Files on Gamefaqs.com. I want to download the 386 All Shiny pokemon, and I don't know if it is possible or not. Is it? If it is, how can I open it and run it as a file on VBA?
Yes, it is possible to use them on VBA with the Ruby ROM. What you need to do is Import them.
File > Import > Gameshark Snapshot
The ones that were entitled under Gameshark Save should be able to be loaded like that.
For the Action Replay Saves... I've never used them before, but I'd assume one of the other options under Import should load them.