Ok, The dolphin is an emulator, it allows you to emulate playing GC games on a PC. The memory card comes with the emulator. The memory card data is just saved on your hard drive. So you download the dolphin and play the GC game on the computer. You have to get a ripped Iso, (!) which we cant tell you how to rip, or where to get (!) Also, when you get it up and running, it is slow, and its not your fault. If you dont really know alot about emulation, but still want to learn, I suggest you dont start at GC emulation, and study N64 emulation or something easier, like that.
Hope it helps, and good luck.