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The Pro Action Replay (and its less official, less pricey variants) were plugged into the parallel port on the back-right of the Playstation and were supposed to be used to load Action Replay code into games for bonuses like;
They work by having the Playstation default to the cartridge's cheat menu where the gamer can find the game that is currently in the Playstation then selecting which cheats they wanted to activate, then loading the game from that menu. Unfortunately (or fortunately, either way) gamers found that when they use these specific cheat cartridges, the Playstation loads the copy protection part of the game first, then the Playstation's CD drive stops spinning when it shows the cheat menu, thus letting gamers load any CD-R version of any game they have, including most imports.
In fact, Sony removed the parallel port from their newly produced model of Playstation (SCPH-900x) just so this method could not be used. Also, no official add-on had ever been released for it.