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Some games need a GBA BIOS file to load on emulators. If you see an error about the BIOS, you need a GBA BIOS to load that game. This guide has two methods for extracting the GBA BIOS file yourself.
Tools
Either a 3DS with CFW (Custom Firmware) and at least 1 VC game from eShop (GB, GBC or NES).
Or a hacked Wii with a GBA to GameCube Link Cable, and a GameBoy Advance or GameBoy Advance SP.
Hold R and A at the same time and press A on "Search for Titles" to see all of your titles.
Search for your NES/GB/GBC VC game (it should say .tmd at the end of the title) and press A.
Select "TMD files option.." then select "Build CIA (Standard)". The .CIA file should be exported to the /gm9/out/ folder on your SD card.
Navigate to /gm9/out/ and press A on the VC game, then select "CIA image options...".
Select "Mount image to drive" and press A on the prompt.
Press A on "0000.00000002", and then press A on "romfs".
There should be an "agb.bin". Press A on it and select "Copy to 0:/gm9/out".
Now the GBA BIOS file should be in /gm9/out. Copy this file to the computer, rename it to GBA.BIOS, and place it in the same folder as the emulator.
Using a hacked Wii
Download the latest GBA Link Cable Dumper. Unzip the folder into the apps folder on the console's SD card. You should have apps/gba-gc-link-dumper/boot.dol.
Boot the console into the Homebrew Launcher and load the GBA Link Cable Dumper.
When prompted, insert the GBA to GameCube Link Cable into one of the GameCube controller slots of the Wii.
Connect the GameBoy Advance/GameBoy Advance SP and turn it on.
Wait for the program to load, then press Y to dump the GBA BIOS.
Once finished, turn off the console and remove the SD card.
The GBA BIOS file can be found at /dumps/gba_bios.bin.
Copy this file to the computer, rename it to GBA.BIOS, and place it in the same folder as the emulator.