The thing is that you need a way that the DS can read the Colors program. In order to do so, you transfer it into a MicroSD card and that one is inserted into the R4, which makes the microSD to be readed as DS game. That's how it works, so you need the whole package for it. It is tons of fun once you tried it out!
Jabo's explanation on the first post is very straightforward on how to set it up.