You can also use an old mobile phone like the pocket PC SPV M1000 to load the games. That way you can store all the games you have converted onto an SD card and play away. I used OTLA to convert the tap and other files to WAV or MP3, Alexh mentioned the program in another thread and its a great piece of kit to use and its free.
I know that my Dell AXIM pocket PC wont load the games as well as the SPV C500, same for a couple of PDA's I tried but the Orange SPV M1000
(HTC Himalaya) works a treat. Fleabay is where I got mine from quite cheaply plus it was easy enough to unlock via internet information and files