Good idea buying one- they're really fun! Ok, here's the steps! (for DS)
1. Take the disc that comes in the package, and put it into your PC disc driver.
2. You should get the installation screen for your Action Replay. Choose to install.
3. After installation, you will be on the home screen. Put your Action Replay in your DS and power it on.
4. After doing so, notice that you have a few options. Click on the one that will connect you to your computer. To connect, take the cord that came with the AR, and put one end into your AR, and the other into a USB port on the computer.
*If the Action Replay Code Manager (the computer software) does not show that there is a connection with your Action Replay, right-click My Computer, click on Properties, and go to Device Manager. There you will see a USB with a question mark over it that says NDS Link. Click it to connect*
5. Now you may add and subtract codes to and from your Nintendo DS Action Replay. If it starts to act up ever in the future, just connect it with the computer, and reset the codes.
Good luck and have fun! :)
For more information, got to codejunkies.com
They can help with installation in case you encounter a problem.