Once you get your R4DS, go ahead and unbox it. You'll notice that it comes with more than just the R4 cart.
Besides the cart itself, also pictured here are the R4DS box, a USB MicroSD card reader/writer, a protective case to hold the R4, and a CD with the kernels needed to run the R4 on your DS.
Note: If your R4 didn't come with a CD, don't worry! Just read on.