Yes, you can play music on the DS. You need a program such as Moonshell to play the .mp3 or .ogg files. Moonshell is included with the R4 loaders; just extract _DS_MSHL.nds and the moonshl folder to the root of the memory card. Once you've done this you can launch Moonshell with the middle button on the R4's main menu.
Audio files can go anywhere you want them on the memory card.