how to make a cd-r of a game shark or action replay?

I found a sight and down loaded the 2 types and there are three files and the game shark files are names like this e-gscdx.001 , e-gscdx.sfv and e-gscdx.nfo. The action replay is the same just different letter at the front of course. So anyways how do you burn the files to a cd-r to make it a game shark or the action replay and what program do you use to do it with? If anyone can help I would be thankful. Neo