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It's a $34 kit that supports a 2.5" HDD up to 80GB and setup is about as easy as it gets. Just remove 4 screws on the back cover, pop it off, and drop the drive in. Put the cover back on and the screws back in, bang, done.
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As you can see, I'm using an old 60GB Hitachi I had lying around the house. Though the kit comes with a driver disc, it's unnecessary on all Windows systems except for 98. I'd imagine Windows 95 or 3.1 would need drivers as well but I can't confirm that.
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The kit also comes with an A/C adapter to charge the internal battery. The battery can also charge directly off USB, which is nice as well. From empty, the battery will fully charge in about 3 hour's time. In my initial testing, I transferred an entire 1GB SD card about every 10 minutes. To transfer data from a memory card, you just drop it into the appropriate slot and push the "play" button on the side. It copies the data from the card onto the drive in the kit itself. On battery alone, I could transfer about 3GB before the display would show only a single battery bar left(from full). The battery seems to be more of a convenience thing since it doesn't seem to have much life left after keeping the hard disk running for 30 minutes. While it's transferring your first 1 or 2 memory cards, you need to be digging through your bag to find the A/C adapter. Yes, it's yet another piece to carry around but it's still much smaller than any laptop you'll find(for now anyway).
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All in all, it's the best $34 I think I've ever spent. Well, that and this one time when I was down in Mexico......