No need to link the NDS with the computer la...
When you buy R4, there should be a rectangular thing below the R4 card, it is a USB 插頭, just buy a micro memory chip and put it in this thing, then download games to the micro chip, then put the micro chip in the R4.
P.S. If your Chip is not formated yet, you have to use the small CD-rom in the R4 package and download some files from it. The method is written in the guide book in the R4 package.