It is illegal in some countries, like the UK. You cannot import or sell them there. In other places, the R4 itself is not illegal but many of the things you can do with it, require you to break the law, usually the DMCA.
It is not illegal in most other European countries (except the Netherlands), nor the USA or Canada, but they are illegal in Japan too.
Every kinds of r4 cards are made in China, they are legal in China.
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Not natively, but you can get a flash card such as the R4 that will let you. Google R4 DS
An R4 is basically a mod chip for the Nintendo DS console. You can download games from the internet and put them on your R4 card and play the games on your Nintendo DS.
The cheapest i have seen was for £5.42/$9.50 (not including P&P or MicroSD Card) There are too many r4 ds card in the market currently. The cheapest r4 ds card cost about 5EUR. But it only support DS and DS lite. The famous card is r4i sdhc 3ds. It support Nintendo 3DS,DSi,DS. So, I suggest you to buy a r4i sdhc 3ds card.
about 4000 games
no it is not that is a r4 card it for the Nintendo ds r4 card is not legal in most country. as it hurt the benefit of Nintendo and game developer. with the r4 card, user can play most DS games for totally free. they won't pay any money to game developer. So Nintendo is beating flashcard all the time.