Below is an out-of-the-box illustration of the R4 including its functionalities.
FUNCTIONALITIES
2nd generation storage device (no booting tool required)
-Flush fitting slot 1 card
-Uses MicroSD card, FAT16 or 32
-Supports any MicroSD card speed with no lag in game
-Supports Clean ROM, drag and drop. Works on any OS
-Built in NoPass
-Automatically detect save type
-Save directly to MicroSD card, not to onboard chip
-Supports Moonshell and other homebrew. Open I/O interface
-User friendly skinnable interface. Touchscreen or button operation
-Supports rumble pak and memory pak
-Supports the WiFi game, DS Rumble Pak, DS Browser
-Supports changes of the background of Operation Interface
- Support Skin DIY by setting background and font colors on
Main Menu and Game Menu manually and automatically
-Supports 4-scale-lightness adjustment ( DS Lite only )
-Supports the Soft Reset.
-Supports Action Replay cheat
-moonshell 1.6 software Reset function( Press START key back to the R4 menu)
-DLDI auto-patching
-Full download play support
~(Picture and functionalities are excerpted from http://www.r4ds.com)
COMPATIBLE MICRO-SD CARDS
It uses a micro-SD card to store both the ROMs and the save files. Please, keep in mind that the R4 is incompatible with SDHC--memory cards greater than 2GB. When deciding what brand of memory card to use, SanDisk and Kingston have been established to be the most reliable.
GAME SAVES
Corresponding game saves are automatically created in the memory card
in the set size of 512KB when a ROM is run.
INSTALLING/UPDATING FIRMWARE
The CD included in the package contains, perhaps, the outdated firmware. It is imperative that you recurrently update your version to put up with old and recently released ROMs. To download latest firmware, go to the website aformentioned (http://www.r4ds.com). Once, download is complete, you will see a folder similar to the one shown below.
Now, double-click on the folder. In this folder, the firmware files are contained.
Next, go to My Computer and find the root directory of your micro-SD card. This is the letter assigned to your memory card when it's hooked up in the USB port of your PC using the adaptor. In this case, mine is (L:).
Subsequently, double click on it to give you more room to work with.
Select all four files by holding down to either the Shift or Ctrl key on your keyboard. When all files are highlighted, click on any one file and drag and drop them to the root directory of your micro-SD card.
When prompted if you want to overwrite existing files, just click Yes to All.

Well done! You have now successfully loaded/upgraded your R4DS f irmware
ADDING ROMs
You can now start browsing the internet for plethora of ROMs available for download. To aid you in this, you will need an archiving tool. I recommend using 7-ZIP or Winrar as it's a firmware. Again, loading games to your Micro-SD card is as simple as "dragging and dropping".
Safely remove your micro-SD card from your computer. Insert it to the R4 cart, and then place it in the top slot of your NDS. Turn the power on. At the main screen you will see three icons. Touch the first icon, and you will be sent to main directory where you see the folder you created that will hold all your games. Press A. You should now see the game that you've just added. Just cycle through the process if you want to add more games. Enjoy!