I had one of them. It was offered as part of your cable tv package. It basically just downloaded a Sega game and stored it on the cartridge, and then you could play it off the cartridge. The negatives were it was slow as molasses to download a game, so I just download 1, play it until I beat it/get sick of it, then download another one. It wasn't really practical to keep switching the games around since it took so friggin long to download them. I can't remember how long it took, but I know it seemed like forever!
edit: well I read the wikipedia article on it and it said games should only take 1 minute to download. I guess my service was hosed because it was at least half an hour or longer for me.