This is done with an R4 chip:
buy one: http://www.ts-shops.eu/nintendo-dsi-xl/flash-cards
There’s a difference between the r4 and r4i
You then put a kernel on the chip:
http://www.r4i-sdhc.com/downloade.asp
Instructions for formatting your r4 card
http://www.r4dscards.com/R4i-DS-Card/
Download games to put on:
http://www.dgemu.com/