When looking at NDS, PSP, Wii, Playstation, XBox, etc. games, people call them games. Although this is true, the medium recorded to is called a ROM (Read-only memory). When you buy a DVD movie, you can watch it, but you cannot write to it. This is called a DVD-ROM. When you buy a DVD-R and/or a DVD+R, and you write data on it, it is no longer a DVD-R or DVD+R. It is now a DVD-ROM. Furthermore, when you buy a Nintendo DS or any other game cartridge, you are buying a ROM cartridge.
In short, anything that is ROM cannot be written to. There are some types that can be rewritten, but the ones mentioned in this article do not use this type yet. Therefore, anything bought off the shelf that can be played on an electronic device will usually be of type ROM.
When you buy anything on ROM, you do not want to have the data erased. For example, a Nintendo game. If the Nintendo game is not of type ROM, you can overwrite the game, and it will no longer be playable. Something that you probably did not want to do. Therefore, ROM is used to keep the information from being overwritten and/or destroyed.
Although this may not seem important, it is something that you should know. If you want to keep up with technology, you should also keep up with the lingo. Furthermore, all software that comes in a cartridge form or other medium will almost always be of type ROM.
For an in-depth look into this topic you can read this article. http://en.wikipedia.org/wiki/Read-only_memory