As UniqueGeek said, the Action_Replay.xml is only a link to the code list. You link that to the cheat manager on the pc. If you want to add the actual codes to your AR DSi, you have to download the cheats.xml.zip file instead and import that.
But the problem is that the Action Replay DSi will take forever reading every single game and code before you can use it. It would be best to just download the file, add it to the code manager, and import only the games you have onto it through the code manager.