How to add games to action replay?

What do you mean?

Have you bought it for your game boy or do you use VBA?

If you use VBA you need to go the the third menu named "Cheats". In there, select "Cheat list". Then if you got a GameShark code, press the "Gameshark" button. If it's a codebreaker, press the "Codebreaker" button ect.

EDIT! Just found another answer. I haven't actually read it but might be useful. http://wiki.answers.com/Q/How_do_you_add_a_game_in_action_replay