The same company that sells Action Replay also sells 'Media Players' for Nintendo DSs. They can be found at most gaming stores, I see them at Game Crazy (Hollywood Video) often. I don't consider the games downloaded illegally since you have to download them at the code junkies web site. As for videos, the media player plays MP3 music and DMV (or something like that) videos, the program is included with the 'Media Player'.
It's a decent system, but the only disappointment is that the Micro SD Card included is only 128 MB (in my version anyways). I believe most Micro SD Cards that are 2 GB and under will work.
Of course by downloading games you probably mean games that are not normally made for the Nintendo DS, for those games I can't say I have much knowledge on that.