Hi,
My daughter uses the DS Lite a lot and she has given the following advice:
“The Nintendo DS and DS games are all region-free so they should play on any DS. (I’ve used U.S and Asian games on my own DS which I bought in Ireland) I’m not entirely sure, but the message about downloading the data sounds like it may relate to the Wi-Fi connection. (internet connection on the DS which allows you to link up with or play against other DS owners around the world) It should be safe to allow the game to download, but to be sure I would look up some reviews on the game that mention this ‘download for data’ or refer to the game’s user manual to see if there’s any troubleshooting advice relating to it.
If the data is related to previous saved game data (I would assume only if the game has been used before) then you probably don’t need to download it as you’ll be starting afresh, but I’d look into it first or contact Nintendo for their advice.
Sorry couldn’t be of more help but good luck!”