Yes, you plug the game in the Game Boy Player. Then you plug your GBA/GC link into the slot on the GBP and to your GBA/SP. BTW, this also works with the Wireless Adapters. You plug one into the GBP & one into your GBA/SP and it will work
You have to be far more specific than say "The SP one". The SP what? Link cable? Transfer cable? Handheld? You can't make us guess if you want us to help you.