There are two main options right now:
1. Download the OpenFPGA core that lets you play GB games, and then put the ROM on the SD card with the core. Google a program called Pocket Updater to make the setup easy.
2. Use an Everdrive or similar flash cart if you have one.
Either will work, but for now method #2 has the advantage because you can make use of display settings that are unavailable in the core (will be coming in the future).