the main answer is:R4 does not have inbuilt support for gba games THAT I KNOW OF, the only one off the top of my head that does is CycloDS which i have.
to make it recognize them you need to download a homebrew app that will patch and send the games to the EZ.
now for the bad news: from what i can gather you have got this EZ recently? if so then you will probably have the EZ 3-in-1 PLUS version which barely anything has support for.
First step is to get GBA_Exploader v 0.58B. it must have B at the end otherwise it won't recognize EZ3in1plus.
When you load it, at the top it willl have "GBA Exploader" then in brackets it will have the model. if it has [3-in-1Pls] then its a Plus version.
that should be all you need for GBA games HOWEVER i don't know about rumble or Opera browser because I don't have an R4.
if you need more help don't hesitate to ask.
Just so you know, my EZ 3 in 1 wont save properly, i have replaced the battery and yet it doesn't work.