R4s multiplayer compatibility is average. Some games work, some don't. As for NSMB, I do not know.
DS-Xtreme is best, for both Wi-Fi and Download(system link) play.
I searched for you real quick and found this, from a review about the R4 @ another forum (membership needed to read it)
QUOTE
New Super Mario Bros.
- PROBLEMS: Plays and saves fine. Mini games section works fine. Download play doesn't work.
This post has been edited by throwingks: Mar 12 2007, 05:52 PM
QUOTE(jon_jon @ Mar 12 2007, 11:08 PM)
Most of the slot-1 adapters have problems with download play so it is not just the R4.
It says the Euro version works on this site: http://wiki.scorpei.com/index.php/R4_compatibility_list