You don't. You insert the Action Replay into the DS, and start it up. When prompted, you remove the Action Replay, and then insert your game into the DS. If your AR had the appropriate codes, the game will be recognized and the cheat options will be available.
edit:
The above information may be true, depending on what type of action replay you own. There is also a kind that has a slot at the top for you to insert a DS cartridge in it. In this case, you just insert the AR between your DS and the game card.
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If it comes up saying ''UNOWN GAME'' it means that your Action Replay hasn't got any cheat codes stored for that game. You need to aquire the games ID and then find the codes you want and then store them on your Action Replay.
your game is not registered in the action replay
After Action Replay is loaded, you can take the game card out. Then, you will be able to use it's features without the action replay game card (you usually put in the game you wish to hack) * This is wrong, I mean that take the game card out and still have action replay in the ds but without the game card while playing a game.
The cable for connecting to ur computer should come with the action replay. No cable is needed to use on ds. just put game in action replay and plug in action replay like its game
If it doesn't have a slot on the top of it then you probably bought Action Replay DS, not Action Replay DSi. To use Action Replay DS you type in the code you want, check-mark the codes you want to use, then pop out your Action Replay DS ( while the DS in on!) and pop in the game you have the codes on for, then press start game. If you have Action Replay DS then when you pop out your Action Replay it won't freeze, so you can still start up your game with the codes.