The Pro Action Replay (and other, less pricey and just as unofficial variants) were plugged into the parallel port on the back-right of the PlayStation and were used to load Action Replay codes into games for bonuses like:
They work by bypassing the normal PlayStation interface and opening a 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. The code from the cheats was then loaded into the system RAM for as long as the system was on, which could potentially cause problems for codes of extremely long length.
Gamers inadvertantly found that when they used these specific cheat cartridges the PlayStation loaded the copy protection part of the game before booting the game. Therefore CD-Rs or imported games that would normally be rejected by the system could be hotswapped into the system during startup.
In fact, Sony removed the parallel port from their newly produced model of Playstation (SCPH-900x) just so this method could not be used. Officially the reason was that no Sony-branded device had ever been made for the port. After this change new cheat devices were printed on CDs instead.