I was a clueless noob trying to do this last weekend and I got a lot of assistance from the lovely people on the boards. I think it would help if you told us what flavour of SD card you are using.
Anyway, in case it helps, below is how I did it, written in noob (my native language). Note that I'm not advocating this as The Way, it's just how I did it.
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1. Turn off your GP2x, remove the SD card and plug it into your pc/laptop.
2. Back up the SD card's contents somewhere, and then format it. You'll want to use FAT32.
3. Unzip the gp2x-cramfs-0.0.4.zip file somewhere easy like the desktop.
4. Copy the following files onto the SD card:
- cramfs-0.0.4.dump
- flash_cramfs.gpu
5. Remove the SD card from your PC/laptop, and plug it back into the GP2x. Turn the unit on.
6. After the looooooooong boot, navigate over to Utility. Select it, and then select SD Card. Run the flash_cramfs programme. This takes about three minutes, which is incidentally just enough time to make a cup of tea.
7. When this is complete, turn off the GP2x. Remove the SD card and plug it back into the PC.
8. Copy the gp2xkernel.img onto the SD card.
9. Remove the SD card from the PC and plug it into the GP2x.
Before you turn it on, make sure you have fresh batteries or are connected to a mains adapter. Turn on the unit.
10. You should see a Firmware Upgrade notification like this:
11. When the upgrade is complete, turn the unit off. You can now put the SD card back into your PC/laptop and restore all the delicious software you backed up in step 2. For the sake of tidiness, you can also remove any files leftover from the upgrade. For example, the gp2xkernel.img file
should have been automatically deleted but I like to check because I am paranoid.
12. Put the SD card back in the GP2x and turn it on. You should see a firmware of 1.4.0 on startup, and it should boot in approximately 14 seconds from switchon to seeing the menu.
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If the above does not work, it could well be a compatibility issue - The GP2x is a little fussy about some SD cards.
Alternatively, you could have been living a sinful life, and the non-functioning of your GP2x is simply karmic retribution.