Half the people here think you're trying to play chiptunes on the DS, and the other half think you want to play DS music on your computer. I'm gonna assume it's the first situation.
Moonshell can handle most common chiptune formats, and DSOrganize might be able to support a few more. For VGM specifically though, the only thing I've been able to find is one for the GBA, found at
http://www.smspower.org/maxim/Software/GBAVGMPlayer
If you have the capability to run GBA files, I'd give that a shot. Otherwise your best bet is probably to convert to mp3 using a Winamp plugin and listen that way, unfortunately.
EDIT: Hm, looking at the discussion of this program at
http://www.pocketheaven.com/ph/boards/viewtopic.php?t=4101 it might only be able to do SMS and Game Gear music. Genesis/Megadrive may not work. I've never actually used the program so I don't really know for sure. At the very least, it does seem to support some form of compression in the builder program, though I would suspect that VGZ files would need to be uncompressed to VGM before the builder can work with them.
EDIT 2: Okay yeah, looking at the ReadMe and
http://www.smspower.org/Music/VGMFileFormat it seems it only emulates the Texas Instruments chips, which may be used by some Genesis games but probably not most. It doesn't support any of the Yamaha chips.
My next best guess is to find some way to turn the VGM file into an executable Genesis binary, and play it in jEnesisDS like a normal game. Try searching for "Genesis VGM Player" or something like that. I know they have such utilities for NSF, SPC, and (somewhat) GSF files, so there should be something similar for the Genesis.
EDIT 3: Dang I should research more before I post. According to
http://www.ds-xtra.com/MoonShell2 the KSS file format is supported by Moonshell 2, and Zophar.net lists that as a possible file format for the Genesis. It's another option at least.