Destructobot's right. The DS is incapable of multitasking as you're thinking of it. The PSP for instance has an underlying operating system, so it can run mp3 files from your card while doing other different tasks like playing a game. With the DS, once a program has control over the hardware, it has FULL control over ALL the hardware. Therefore, it's not possible.
Homebrew programs can be made to multitask though. For instance, if DSLinux detects extra RAM in slot-2, it will unlock two additional virtual terminals you can access by pressing Alt-F1 through Alt-F3. Through this, you can have madplay playing your mp3 files while you browse the web in another virtual terminal while you IRC using the third, for instance.