First off, you know that Action Replay CD that's slightly blackred that came with your AR? If you haven't already, stick that thing into your PC CD-drive and install the AR program.
Then, look for the black cable that looks like a link cable and should've come with your AR. Got it? Now take your AR, put some random game in it, then put it in your GBA or whatever, and turn the GBA on. Now get the aforementioned cable, stick one end into one of your USB ports, and the other into your AR. And don't ask which end is which, they only fit to one thing. And if the USB connector doesn't go in, it's upside down.
Now once you connect it, a little thingy should pop-up in the lower-right hand corner of your PC screen (assuming you have WinXP, not sure how the other versions work)(and if nothing pops-up, skip this paragraph) saying that new software has been detected or something. Now wait about ten seconds. If a window pops up asking for how you want to install this "new software", say you want to install it from a CD or something, and choose the drive where your AR cd is in, let it do the installation.
Now with everything still connected and the GBA turned on with the AR in it, open up the AR program you installed on your PC from the CD earlier. Make sure you're connected to the internet. Look near the upper-right hand corner of the program and click the "Upgrade" button. It should upgrade it. Once the upgrade process begins, LEAVE YOUR GBA AND ACTION REPLAY ALONE. Heck, leave the computer alone. DO NOT INTERRUPT THE UPGRADE PROCESS.
If it says something about "Error Connecting to AR" choose a different USB port to stick the other end of the cable in cause chances are someone screwed up on installing that USB port you chose. I find the USB ports in the back of the computer more reliable, even though the cable probably won't let you see your GBA since it's not long enough, but you don't have to do anything with your GBA while it's connected anyways.