so basically you have to buy a micro sd memory card to put in it. I got a 2 gig. Once you put the system files on the memory card(they are on a disc that comes with it) you can place nds(ds roms) files, mp3 ,videos(dont know what format it plays), and homebrew programs(emulators!) on the card. you put the memory card in that r4. The r4 slides in the ds like any other game, once you boot to it you can select to boot from any rom on it, or play music.
its a great thing if you dont feel guilty about stealing games or you want emulators.
that site is by far the cheapest i have found, they ship from hong kong so it takes a while to recieve it. They also sell a version that comes with a 1gb card
http://www.dealextreme.com/details.dx/sku.1459