They can’t use it on Playstation because Sony’s put a ban on third party, unofficial accessories such as Xim Matrix.
Xbox is the only console that doesn’t ban Xim Mat rix etc users, but it’s coming.
It’s as simple as using a USB and a file browser on your console. However, they always run a risk of getting their console banned from accessing their live services and online capabilities, because it’s harder to cheat undetected on a console than it is on a PC.