Everything you need will be in the box and ready to use...easy plug and play device. You just need one open USB port. There are sites that you can DL from...that Codejunkies site comes to mind. You can DL codes for the GS2 v2 ro AR2 and even the AR Max now. Plus gamesaves for many games. Cheatplanet.com has gamesaves as well, but if you just use a search engine, you can find thousands. There was this guy I used to talk to, went by the name Spongeworthy, he has a site full of codesaves and gamesaves.
As far as GT3 goes though, you can share cars with people here through .ini files and such, but you will find it more satisfying to build your own.