I think you're referring to the Play-Yan Micro. A device that plugs into the game port and has its own slot for an SD memory card. You can load up music (mp3, wma? aac?) and also videos (formats?) and can play them on the GBA screen. There is also a "non-micro" Play-Yan which was released earlier for the SP and GBA although I think it still works with the Micro, it is just not as small.
It has its own headphone jack and I am not sure if you can "pipe" the sound through the standard GBM headphone jack.
Apparently the quality of both music and vid playback is okay, although personally I would rather my iPod do the music playing and my GBM do the game playing