Encrypt the Moonshell2's NDS file.
http://filetrip.net/file.php?id=977
Just drag/drop it onto the encrypt exe, then just rename it to _DS_MENU.DAT
Oh... Another thing Moonshell will not load commercial ROMS and as of 2.06 or 2.07 blocks commercial NDS loading via extlink (basically you can put an NDS file, say "gbc.lameboy.nds" into the extlink file and it will load *.gbc files directly).
There are guides for bypassing the block (in 2.08/2.09 you can use a cracked overlay from Normmatt).
You can use a few of loaders, like YSMenu or WoodR4, to load games through Moonshell. YSMenu loads them fast but doesn't have the compatibility of WoodR4.
Also, neither will allow cheats to be used (but you can hold B to cancel the autoloading and run the game with cheats from the menu itself).