You sure can, i'll try to find the tutorial, this is a FAQ
Download
VBA link (its a modified version of VBA, plays the same)
Open the Emulator, minimize it, then open it again
Now You have 2 VBAs running
Set up the 2nd VBAs joypad controls so you don't get screw up on somthing
After you have open the Roms that you want proceed as normal would
When your ready to link, click on Options on the 1st GBA, then click link, a menu will pop up, called link options, click one computer, then ok.
Play as normal,
Do Not Use Save States WHILE Playing a Game Linked Like 4 Swords
That Should do it
Some Pokemon notes: Fire Red, Leaf Green, And Emerald require that you unlock the national pokedex before trading pokemon forgein to that Region