Beat the Elite Four first and get the National Dex from Prof. Oak (i think you need to have caught at least 100 pokes). Go to one island and talk to Celio, who'll need the Ruby and Sapphire to be able to trade with Lanette. Go to Mt. Ember where the Rockets are and defeat them, then get the Ruby in the cave. Give it to Celio and he'll assign you to get the Sapphire.
Go to Four Island and defeat the Rockets who are harassing Lorelei (i think this is required), after which go to Six Island and get the Sapphire there, in the Dotted Hole, but a scientist steals it and spills you a password to the Rocket Warehouse on Five Island. Go there and defeat him, and he'll surrender it to you. Give the Sapphire to Celio and he'll establish connections with Hoenn, and Lorelei will go back to the Elite Four. Happy trading! :)