Wii installable applications can ONLY run from internal storage (emunand doesn't count, it uses CIOS to remap devices); so in their attempt to make Wii updates not feel like flagrant anti-homebrew, they added this wonderful gimmick in 4.0
Of course, it requires the SD to be readable by the console, so formatted as FAT16 or FAT32 (the Wii, or rather its official software, is incapable of formatting anything except maybe the Dragon Quest 9 flash drive, and still that's something built into that game)
You install software (to nand) as usual, then move it to the SD using the official feature; when you select something in the SD Menu, it's just copied back to nand and run (and when you try to run a different title "directly" from the SD, the previous one is automatically removed from internal storage, providing the illusion of actually expanding the capacity)
Oh, and if the involved titles are not legit, you will need to run the Wii Menu on a trucha-enabled IOS to allow an unsigned title to be copied back to the console (as it's always been since they first fixed the trucha bug in 2008; just that, before the SD menu, few people with access to a wad manager used the official option to copy titles to the SD and back)
