Go to the native32.com Web site. Click on the Game Lib tab and click on the Batch Download link.
This downloads AllGame070927.rar. Use 7-Zip (an Open Source compression tool) to expand this rar file and copy all the contents to the root of the SD card.
You then have to download the Flash UI (note this doesn't flash your ROM - this means flash as in 'snazzy'!). Click on the Home Tab and click on the Flash UI link. Again, using 7-zip, expand the compressed file and copy fhui.smf to the root of your SD card. This fhui provides a menu for the games. Without this they don't appear to work correctly!
Doing this enables you to play games without having to keep a CD in the unit. You can also put movies in the root too - just make sure they're the correct format.