You could also make your own action replay and then transfer the files from memory card to your computer.
Just buy a xbox controller cable extender (so you dont ruin your original) and a usb cable. Follow instructions as from here http://www.fury-tech.com/Modding/Xbox-Controller-PC-Conversion-Mod
to connect the wires. This makes a usb cable that will now connect to the xbox controller which your pc will recognize. Then install the appropriate driver. Finally, download the action replay software.
You can also find prebuilt xbox - pc converters if you dont want to make your own. If you can electrical tape a wire together you can do the mod, its just 4 wires. Just match and wrap.
Other sites explain this too. Just search for xbox to pc controller.