What is Wonderborg?
The kit comes with a robot, in the general shape of a bug, that you assemble, and a game cart which you plug into the console. The cartridge has an Infra Red transmitter embedded into the cartridge itself, so when it's plugged in, you can beam instructions directly to the borg.
From what I have read, the cart offers English language menus which makes it usable for those not in Japan, and lets you have a Pet Mode which turns it into a Tamagotichi-like toy, or beam instructions directly to it. You can also create programmatic routines for the the cute bot.
Bandai have a page dedicated to the Wonderborg within their Wonderswan pages, but the best resource is over at Caz Robots Factory. There's a really detailed look at the Wonderborg including videos of it in action. The author's coming at it from a Robot perspective rather than as a gamer, but it's a great read.
I had hoped to have a Wonderborg of my own to show you, and I did actually win an auction on eBay to get one but the final price of over £41 (GBP) didn't meet the seller's reserve price. No idea how much he thinks its worth but the market doesn't seem to agree with him at the moment!