You should have the action replay code manager downloaded and the action replay USB cable plugged into the computer. Once you do, you go to the my code list on the bottom right corner of the manager screen and make a new folder in my codelist. You drag your game title from the list of codes on the left to the folder. After that you right click on the game title and click on new code. Then you go to the site where your code is and copy the code in to the new code box and then type in the title of the code. After you pressed ok, then you drag your game title back to the left side from my codelist and then press committ changes.
Hope this helps :D