If you have an Action Replay DSi, you can place the game into the slot in the back. If you have a regular Action Replay DS, you have to take out the Action Replay and put in the game. Hope that helps!
When you go to the main menu of the AR there should be a "add new game" at the of the list. You'll have to go to another website to find codes for it. Gamespot.com is my best bet.