If you are using Menu 0.4 to boot your MK3, you should select a rom and then press Y. It should ask you if you want to flash the rom to the MK3 flash memory, press A to confirm.
It should take about 15 minutes to burn a 32MB rom(the maximum allowed size on a 256Mbit MK3),but be aware that if the size of the rom exceeds your internal memory the process will stop and freeze half way trough.
MK3 comes in different models.
Check yours.