Did you put the launcher file on the SD card?
Yes, I've tried with and without the launcher on the SD. The manual doesn't mention putting the launcher on there until step 3.
I just followed the instructions in the manual. I copied the files over from "Blue Card (R4i)" to a FAT32 formatted SD Card. I then stuck the SD card in the blue cart, and loaded the deep labyrinth game. I then get the message "Can't open _dsmenu.dat"
I downloaded the firmware and manuals from here. - http://www.gateway-3ds.com/downloads.html
My 3DS is 4.5.0-8E.