All the Zero games are gathered into one DS cartridge. Elder-Geek.com loved it in their review.
Elder-Geek: Recently, there has been a resurgence of Mega Man love and I, for one, couldn’t be happier. Those who know me would say I might be a tad obsessed with the series but I say a Mega Man themed wedding is perfectly normal. That aside, my respect for the franchise has been dragged through the mud with its numerous useless incarnations, like Star Force and, to a lesser extent, ZX. Even the retro MM9 and MM10 had me severely disappointed and wanting more. Mega Man Zero, however, is a testament to the great things that can be done with the franchise while keeping true to the series roots and with all four games wrapped neatly together into one edible cartridge, there has never been a better time to give these spinoffs a try.