The GBA is not powerful enough to decode MP3 files in real time. In fact, it was a struggle to get them decoded on purely the ARM7 of the DS which had twice the clock speed. Thus, you must compress it into a different format first.
Your only two real options are Music Player Advance and GBA GSM Player. Both of them use their own internal filesystems, so they pack all your music into a *.gba file that cannot be larger than 32 MB.
Music Player Advance requires you to convert to a specific type of PCM WAV file (Audacity would work for this) and then convert each WAV file to a *.MPA file using the included tool, then manually add each converted file into the *.gba ROM file. On the plus side, MPA supports higher quality audio and can even do stereo audio as long as you're not using the highest quality possible.
GBA GSM Player is my personal preference even though it's only in mono. For this one, you use Audacity to convert to the highest-quality WAV file you can, then put the WAV files in a specific folder, run the "go.bat" file, and it pops out your completed *.gba ROM file. The audio quality on here isn't quite as good as the higher options in MPA, but you can fit up to 150 minutes of audio into a single 32 MB *.gba file.
That said, Moonshell on a DS is a much more capable MP3 player. You get actual filesystem support, enough horsepower to actually play the MP3 files, useful button shortcuts, etc.