Are you talking about Sony's MemoryStick? Those MP3 players tend to be a bit to the pricey end - I only know of one, and it's Sony's running at around $300. Is there a reason you want MemoryStick over, say, SD Card?
If you just mean you want an MP3 player with SD or MMC card, I have the Rio Cali Sport and I'm very happy with it. There are a number of good players out there, though, and I recommend you make liberal use of pricegrabber.com and CNet.com
500MB file transport + MP3 player in ONE device for less that $200 might be a push. A few thoughts: 512 MB JumpDrive for about $125 - I use one of these attached to my backpack to transport between school and home. That doesn't get you music, but I think that you've gotta spend a little more to get 500MB of data and music on one device, but for the money that's a really good option.