HD advance actually comes with 2 disks, a DVD and CD. Both work the same, so im not sure whey they included both. That said i may consider selling one or the other. I'd rather trade it for PC Engine or SNES stuff though.
I make the exploit into a savegame and use a memory card tool in Action Replay to move it with a USB stick, it is tough to do and you need a PS2 Thick and a PS1 game for it to work.
I would use HDLOADER, the HDadvance is a rip-off of it.
I put HDL 0.7c on my brothers with an old 40GB WD HDD for $14 to get a network adaptor used at GameStop.
It is a steep learning curve though, you have to get into it pretty deep and figure out what all the memory card tools and save editors actually do.