How to play original Xbox game on 360 Slim 4gb?

Microsoft are a bunch of damn right liars, I download Grand Theft Auto: San Andreas to my Xbox 360 Slim 4GB and b4 I downloaded it, it said "This game has been fully tested to work on your Xbox 360 Console, However, you may experience slight glitches with sound/video.' I PAYED for it, downloaded it, THEN it says when I try to play the game: 'You Must Attach An Xbox 360 Hard Drive To Play Original Xbox Games.' I have a genuine Xbox 360 Hard Drive and transfer cable but one, the Xbox has a HDD built in >_> and two, how can i put a frickkin Xbox Hard Drive on a 4gb Slim????/ WTF!!!!