[I wrote this a while ago when I just got started with my R4 and have decided to repost it from the forum into full, HD cblog quality, after reading a rising interest in DS home brew on dtoid. It's not perfect, but should help you on your way. If you have any questions there is a dedicated help guru here, or post them in the comments. Original thread here. Even if you don't give two hoots now, bookmark it for that day when you need it. Or when somebody asks about home brew and you can pull it out your arse and take all the credit.]

I'm going to make this as easy to read as possible, feel free to complain, shout or whatever if it will make it better. I also haven't covered everything, not by far. There are many more old console emulators listed here if anybody wants them. Also note I haven't put this in the gaming section, as this isn't about the actual games, just how to get them running, but if any mods think it should be moved, feel free.
This little guide covers:

DLDI
NES & SNES
ScummVM
Doom
DSOrganize
Watching Videos

Intro
First thing, this guide is not a final say, its most definitely not 100% right, but it does work. I have compiled this to help the people who want their DS to do the stuff it should have been able to do out the box. Also, please note, I have done nothing here but put other peoples work together in an easy to read way.
The most important thing to note is that there are many different options for running your homebrew. I have chosen the R4 as it's very cheep (I got mine from here ($60)). This guide should work with the M3 which is almost identical, however this hasn't been tested.

Setting up your R4
Step one: RTFM

It really is that simple, to get the R4 running I followed the very easy instructions from the CD that came with it, its just a case of copying some files across.

Patching DLDI
(AngelicLiver has pointed out more recent R4 cards sold do DLDI auto-patching, so there is no need to patch yourself. Saying that; the more you know)
This is the most important step in installing any homebrew onto the R4, it's also the most common stumbling block. The DLDI (Dynamically Linked Device Interface) is basically the drivers. I got all my stuff from here. To get an .nds file patched with DLDI do the following:

Step 1: Download your patch (the patch is specific to the hardware, this is the r4 one).
Step 2: Download the patcher, there are many different ones, I found the easiest one to use is dlditool-win32-gui as it has a GUI (no command line for me!). Make sure you save all this in the same directory.
Step 3: Using the patcher you can now select both the .dldi file you want to use and the .nds file you want to patch, simple!

NES & SNES
(Thanks to ZekeThePlumber for pointing me to nesDS for all your NES needs.)

One of the first things I found on my journey through the wonderful world of DS homebrew was this SNES emulator. It doesn't work perfectly, but I have been playing sonic for the past 30 mins without much problem. To get it running do the following:

Step 1: Download SNEmulDSv05a2_M3S_R4.zip from here. This is the emulator I used. Make sure you get the one which is pre-patched for the R4.
Step 2: Unzip everything onto your local directory
Step 3: Patch the .nds file with DLDI (see "patching DLDI")
Step 4: Copy across the .nds file to the DS root directory, I put all the SNES roms (.smc) into a directory called SNES and it seems to work very nicely

Some games are still a bit buggy and I haven't tested too many of the ROMs, but for the most part they seem to work, even if you do have to fiddle with the settings.

ScummVM
Possibly the best suited game for the DS can now be played! Huzza! The ScummVM (Script Creation Utility for Maniac Mansion Virtual Machine) is what you need to play such classic games as Monkey Island, Sam & Max and Simon the Sorcerer. I tested this using The Secret of Monkey Island.

To get it running on the R4 took some time to figure out, but is actually very easy:

Step 1: Download the emulator from here
Step 2: Unzip everything into a local directory and patch scummvm-a.nds with DLDI (see "patching DLDI")
Step3: Copy both the .nds file and all the game files you need across to the root directory.

I use build-a here due to the game I'm testing it with, build-a is used for nearly all scummVM games. To find out which build you should be using, look here.
When the game starts you are asked which folder has all the game files in it.

Doom
Best FPS EVA!!!111!!!1
To get Doom, doom2, hexen etc working is quite easy

Step 1: Download the latest DSDoom from here and unzip everything into a local directory.
Step 2: Patch the .nds file with DLDI (see "patching DLDI").
Step 3: copy prboom.wad AND doom.wad across into the root directory.

To get other doom games(doom2, heretc, TNT etc) working just copy the wads across, they may need to be re-named doom.wad so the program picks it up.

DSOrganize
DSOrganize is a little app I found which does what it says on the tin. I haven't had much time to play with it, but it looks to have great potential.

Step 1: Download .zip from here and extract it into a local directory
Step 2: Run the .nds through the DLDI patcher (see "patching DLDI").
Step 3: Copy all files across to the root folder.
Step 4: Copy the new exec_stub.bin (downloaded from here again) into the DSOrganize>RESOUCES folder. This new file is specific for the R4, it replaces a larger file which is already there.

I haven't looked into this software much as yet, though if it does what it says I will probably be using it a fair amount.


Getting Video
To get videos is as simple as the rest of the others, if not easier as the R4 already comes with Moonshell.
I didn't like the default movie converter that came on the CD so I went looking for a better one and found BatchDPG, this allows (among other things) the ability to batch process files. So when I come back after a hard days drinking I can now find all my stargate is encoded and ready to pop onto my DS.
If your having trouble with codecs, as in its giving errors saying "open this in blah blah something something" then try installing ffdshow from here, it comes with loads of codecs and worked for me.

N64
I've been looking for an N64 emulator, but it doesn't look like there are any ready to be used. There is an N64 emu for the PSP, which gives me optimism that there will be one for the DS soon enough.

GBA
Ironically you can't get the DS to run GBA stuff using only slot 1 (Slot 1 being the DS game bit at the back, slot 2 is the GBA slot in the front). For more information read this


Hope that helps a few people out, if your stuck at all, send me a PM or post below, if you still can't work out why something isn't working click here.
Happy home brewing :-)