Instructions
Place the flash drive to which you want to change in your computer's USB drive.
Create two new folders on the root of the flash drive by selecting "Folder" from the "File" menu.
Name one folder "vbagx/roms" and the other folder "vbagx/saves." Place any roms into the "roms" folder that you want to play. Place any saves into the "saves" folder that you want to load. Make sure the roms are in ".gb", ".gbc" or ".gba" format. The saves will be in .sav format.
Take the flash drive out of your computer and place it in your Wii. Turn on the Wii and launch Visual Boy Advance GX from the Homebrew menu.
Select the flash drive and select the game ROM you want to play. Click "Start."