Yes! However, the internal memory of Palm devices can only store PDB files. So, in order to store a file in internal memory, you need to convert the media file to such a PDB file.
The conversion can be done using the par utility available here. Precompiled versions can be downloaded here for windows and linux.
Then type the following command: (in a DOS-window and with par in the path)
par c -a stream song.pdb "name of the song.mp3" MMPA MMPL song.mp3
(If your media file is some other type than mp3, then you should of course use that file extension instead of mp3 in the command above. The file extension is important, because MMPlayer sometimes need it to determine the format of the file.)
Then install the PDB file to the Palm using HotSync with the Palm Desktop.
MMPlayer will then be able to use the PDB file as a media source.