It happens sometimes. A lot of 3D games (Dragonball Z: Legacy of Goku, DOOM, etc) have this issue with me. However, sometimes it helps if you redownload them from another source, or if you use the program GBATA to patch them, if needed (which most can benefit from). Super Mario Advance 4 works perfectly fine for me, so I suspect you got it from a bad site. Try downloading elsewhere.