Hey Mike is this a plug n play type thing??
You're killing me man, you've never seen one of those before? That's just a generic picture of one I found online, although I do have a couple kicking around in a drawer for my various Miggy's. Lots of people use them on A4000's, etc. Typically you'd plug it into the 40-pin IDE header on the motherboard, configure the jumpers (usually not much more complicated than Master/Slave), run power to it, stick in a CF card, and boot/prep/format it for Workbench. These kind aren't hot-swappable though (which is a difference between the extra LUN's in the Mechware device), because, well... think of it as replacing the hard disk in your A4000. You wouldn't unplug that when it's powered up, would you?

Anyhow, blah blah, the rest should be self-explanatory. Time to go get some coffee!

Edit: it's the same concept as this. I couldn't find a decent pic of an A4000 in my 30-seconds of Googling, but here's a pic of similar concept in an A1200: