If you use 2.6 (the free version) make sure you use the right nds cartridge backup media option ,If you use 2.6a set the nds cartridge backup media to auto.You don't need the bios if your roms are not encrypted but you need the firmware to play any of the nds games
No$gba works perfectly in most cases. The problem in this case is a savetype issue, refer to the FAQ in my sig for further information and solutions (No$gba DS FAQ 2.0).
In almost all cases no$gba no longer needs the BIOS or the firmware files to run the games correctly.
(Just to perhaps clarify your statement to you IRCaveman, no$gba requires the game to be encrypted if it's loaded through the firmware. Neither the firmware or encryption or the BIOS is required almost all the time though. (loading through the firmware is bypassed by changing no$gba's startup/entrypoint setting to load the catridge directly))