Mine works just fine, read the readme.
Create a folder named whatever you like, I named it Commander Keen. In this folder put the .nds that comes with the homebrew. Then put all the files that come with Keen1 , Keen2, and Keen3 in the same folder. Make sure the files are all capitalized (they should be automatically, because tahts how the game files are). Then put it on your flashcard anywhere and it works fine. (I set all the files except the .nds to hidden so I wouldn't have to see all those files).
It was easy to set up and get running for me. I have it running on an SCDS1.
If your having problems you set it up wrong or didnt dldi patch (if your card doesnt support auto dldi).