Go into moonshell (the middle button in the R4 menu) and click the little icon in the upper left of the touch screen. Go to the HiddenItem tab (drag the tab bar left or right if you don't see it) and uncheck the box for 'hide hidden files'. Now you can hide a folder in the R4 menu and still see it in moonshell. Leave 'hide system files' checked.
I find that the simplest thing to do is to put all the games in the root of the card (i.e. not in any folder) and the media files in hidden folders. That way the games button takes you directly to the games, and you can still get to the media files in moonshell.
If you really want to hide the non-music files in moonshell, that's not quite as simple, but it's possible. If all the games are in the games folder, you can hide them by giving that folder the system attribute. You will also need to give the _system_ folder and the _DS_MENU.DAT, _DS_MENU.SYS and _DS_MSHL.NDS the system attribute to hide them.
If you are using windows XP, you'll have to use the 'attrib' command from a command prompt. WinXP won't let you set the system attribute in the file/folder properties, but I think older windows versions did. If you aren't using windows, you'll have to figure it out yourself, or ask someone else.
I can type up detailed instructions for setting attributes from a command prompt if you need them.