Okay, let's start.
First of all, update your firmware to the latest stable firmware.
Download the latest firmware and extract it, put the evo file on the root. Turn on your NDS, it will ask you to press A if you want to update. Do it. Wait until it's done, it'll ask you to turn the power off.
Games - you put them on the root of your microSD - or you can make folders on the root and put ROMs in them.
Skins - you put them in the Skins folder in the Cyclo Folder on the Root.
Cheats - make sure you put them in Cyclo Folder.
Erm... what else do you want to know? I've got a CycloDS here.