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

Mega Man Battle Network
Mega Man Battle Network 2
Mega Man Battle Network 3 White
Mega Man Battle Network 3 Blue
Mega Man Battle Chip Challenge
Mega Man Battle Network 4 Red Sun
Mega Man Battle Network 4 Blue Moon
Mega Man Battle Network 5 Team Blues
Mega Man Battle Network 5 Team Colonel
Mega Man Battle Network 6 Cybeast Gregar
Mega Man 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 start, and you will get the EXE Blaster War Rock Item.