Hello frustrated one,
I'm just wondering if you have downloaded the winrar software or file because when I tried downloading a new game before having the winrar in my computer and new version of kernel, i have that message "loading......" forever !so try this, hopefully it will help.
By the way most r4ds doesn't come with CD because new kernel or other files version are always changing so to cut the cost of making useless cd to not have it all. So this is not really incomplete product just that the website you purchase your R4 did not tell you about it. "purchased doesn't come with cd" most website charge you for the cd alone. Just letting you know.
That's all. Let me know if my suggestion works. Have a nice day!