You can play almost all ROMs online normally. Phantasy Star 0 (USA) needs a fix.

Cool, so they cannot find my by my ip adress or something as like the wii ???

There is no way for Nintendo to "detect" you playing ROMs on your DS, nor is there a way for them to see Wii softmods and backup discs. Nor is there a way they can ban you from using wifi, its not like Xbox Live. Of course any time you connect to anything on the internet they will see your IP address, but there is nothing they can do with that information.
So its perfectly safe.

Wow thank you you two , you helped me a lot !!!

I dont mean to hijack the thread, but since there's already one on the topic... Can people cheat in wifi capable games using various software to hack/edit stats, create ultra powerful pokemon, etc? I really hope not, because this would defy the whole purpose, but since I have a strong suspicion that something like this is possible, I'd like to know if I am right...

Yes, there are cheaters in DS online games. Evidence here: http://www.ds-scene.net/?s=viewtopic&nid=9122&p=5#49

ahh.. damn.. I knew it... but hopefully there are people on these forums that don't cheat and would like to play with me...