You are given a .GBA file. This file is to be opened with a GameBoy Advance Emulator. (Emulators are available for PC and some mobile devices. Look into how to get one for your device.)

Step 1: Get a Gameboy Advance Emulator.
Step 2: Open the emulator.
Step 3: Open your ROM inside the emulator.
Step 4: Play your game.
Step 5: Save your game natively or using frost save states. (Learn how to save a game before you start playing and getting too far into it.)

More detailed information (Revolving around the emulator Visual Boy advance.)

Before you open your ROM, in emulator options go to OPTIONS > EMULATOR > SAVE TYPE and select "Flash 128k" This will ensure you can save natively in game.
To test if it works correctly, try saving your game in the menu of ponymon dawn/dusk as if you were actually playing it on a game boy advance. It should save just fine.