Im guessing you got the 1.4 Beta 2 release, which has the GBA Loader built in to the CycloDS's GUI. With that, in menu rumble support, and the convenience to simply place a clean dump of the Opera browser and other homebrew (DS Linux, SNEmulDS), you should be set to go with no need for the EXPLoader. (Unless you want to flash a GBA game to the NOR area of the 3in1)
For the GBA games loading from the GUI, simply put all your GBA games in a folder called whatever you want, with the save files in the same folder as the rom. Then just load up the file browser in the CycloDS and select the GBA rom, and it should load it to the PSRAM and auto boot to the game.
DSi (Black) + DS Lite (Crimson/Black) + PSP-1000 + Wii w/52'' Samsung LCD HDTV
PC: E6600 @ 2.4GHz + Intel DP965LT + 4.5GB RAM + XFX 8800GT (OC'd) + 1.07TB Total storage + 21inch Widescreen + Microsoft Wireless 6000 desktop