Have one of the following the Game Boy Advance games in the cartridge slot:

Megaman Battle Network
Megaman Battle Network 2
Megaman Battle Network 3 White
Megaman Battle Network 3 Blue
Megaman Battle Chip Challenge
Megaman Battle Network 4 Red Sun
Megaman Battle Network 4 Blue Moon
Megaman Battle Network 5 Team Blues
Megaman Battle Network 5 Team Colonel
Megaman Battle Network 6 Cybeast Gregar
Megaman Battle Network 6 Cybeast Falzar

There will be a new intermission sequence in the dog house near Gonta's house. When it ends, go to the statue near the stairs. Defeat the enemy in the middle of the map, then return to the dog house. An intermission sequence with Rockman EXE will begin, and you will get the EXE Blaster War Rock item.