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No, but you can put it on a floppy.
to be save
It has a small amount of internal memory, but you need a memory stick before you can save games.
yea you can download it on romulation.net and save it to your computer. Then have an R4i chip, which will be the game you insert in the dsi, but you will save the downloaded game on a memory stick from your computer. The memory stick will be inserted in the R4i chip. Hope it helps
You just need a Memory Stick inserted and if the game you play offers game saving features (most if not all do), it will detect the Memory Stick and write to it directly.