Yeah it has a slot for a micro SD card in which you would generally want a 2GB card. There are a few files it needs to run which should come with it on a CD. You can stick games / music (mp3s) / videos (.dpg) and pictures (.jpg, not sure about others) on the R4 and they will run smoothly on your NDS/NDS Lite with easy to access menus.
Homebrew applications are just made by people which you can get and they run just like normal games would. There is stuff like the DS Organiser (which you can use to play around with all your files on the R4, plus it has stuff like a web browser and an irc client), the wi-fi scanner (which you can use to scan for wireless access points and it gives you a strength indication and what type of connection is it [WEP, WPA, etc]) and then there are a few homebrew games like Quake DS.
It's very easy to set-up and use and it can do so much (lol I sound like I'm advertising).
An R4 is a great idea. I have the other thing exactly like it, the M3 Simply DS.
The benefits of it are...obvious. But I won't get into them because people will be like ZOMG U HAV 2 GIVE ALL UR MONEYZ 2 NINTENDO!!11 U R A HORIBEL PERSEN111!!!!
I found a better deal right here in this link below... either site is fine as long you have one or both of them to get... i already bought one and ill be waiting to get mines as well.
I bought my M3 simply (basicly the same thing as the R4) from kickgaming.com didn't really search to hard for it, it was just slightly cheaper on that site at the time, actualy I think the RumbleRam R4 thing is 5$ off now.
On the link FWELR posted, it has everything you need. The USB thing is the Micro SD Card Reader. You stick the Micro SD card in it and then stick it in a USB port and put stuff on it.