So yeah, I just got one today and it's driving me insane.I know how the Replay itself works when it's in your DS, but how does the code downloading thing on the computer work? I have the CD in, I plugged the Replay into my computer via the USB cord, and it isn't in my DS, so what am I doing wrong? Any help would be greatly appreciated.

What you are doing wrong is playing a game using the Action Replay. o/
In a kind way. :D

Ah. Seeing as I have already opened it (obviously) and as such can't return it, how would you suggest I learn how to use it?

Hmm, I haven't used an Action Replay on the DS (or DSi), so I can't really recommend anything.
I guess the best choice would be to Google for solutions as well as asking on the forum(s).

Or you could use it as a frisbee! Whee~!

Yah,I forgot to mention that, didn't I? The troublemaking thing itself is called "Action Replay DSi", and it's for all three DS systems. It's just called DSi because it's from that generation. Or something. So my problem (at least the one being discussed here) is that I can't figure out how to change the codes on the computer software and the so-called user guide is not at all helpful.
Edit: And small game cartridge-like things are not very useful as a frisbee, unfortunetly.