I think there’s no harm in doing brain training on the DS, but there’s no proof that they make any kind of change to either your brain or your intelligence. However, playing that is probably better for you than playing Zelda!
I read that you get better at the training games but not actually cleverer! I’m not sure theres any proof one way or another at the moment is there? But if its fun and makes good use of a few spare minutes then theres no reason not to do it is there?