It depends on your model and what you mean by that. All models will support OPL (which you can use to boot games from the HDD unit), but only the newer ones (DTL-101xx and DTL-301xx, and later) will allow you to boot directly from the HDD unit (with the browser update).
The most comfortable and quick way for me is using the old ps1 game exploit. Got a ps1 demo disc in the drive and opl starts from memorycard.
The upcoming releases of FMCB and HDLGameInstaller will support the DEX units properly. Until then, the only real method of booting games will involve starting OPL from a master disc.
It works. My DTL-H30001 I fit a 40gb Maxtor drive to my network adapter and booted HD Loader from a master disc CDR
A DTL-Hx000x will only ever boot from DISC so what SP193 was talking about is only valid to Magic Gate capable units: DTL-H10100/DTL-H3010x/DTL-H5000x and everything that came up after the DTL-H5000x have Magic Gate enabled for memory cards so FMCB should work for them. Due to different binding KELF algorithm (all encryption/decryption related functions are dealt by the mechanics controller MCU at the DVD drive and DTL units have a different one) cards installed with DTL units will NOT operate on retail units.