And just in case.....
...you are unzipping them, right? That may sound ridiculous to even suggest, but you'd be surprised at how many people that are new to this don't realize that they need to be unzipped first. It has to be a gamename.nds file that goes on the card.
When you update your R4's firmware, you MUST delete the _DS_MENU.SYS file, otherwise weird stuff will happen. The file will be re-created by the new firmware the first time you boot the R4 with the new firmware installed. But it will try to use the old one if you leave it there after updating.
One more thing.....you're not trying to use a SDHC microSD are you? Those don't work in an R4.