because the one that comes with it is shit, and has shit quality with no movies.
Do you use Sakura firmware? or official 3.x firmware?
Sakura's player is much better than built-in player in older firmware. I stopped using moonshell at all, and use Sakura's built-in player all the time. I think video seek time in Sakura's player is faster than in moonshel 1.71.
The only problem I found with it - it does not support OGG audio streams in DPG3, but such videos are rare - usually mpeg is used instead.
So, I'd recommend upgrading to Sakura firmware.
But if you still prefer using moonshell: in moonshell setup select "moonshl.ini is not copied" radio button (by default "moonshl.ini (simple) is copied") and it should work. i could not get moonshell to work on m3 real v3.x when ini-file was copied...
Or just delete "moonshl.ini" file from \moonshl folder and it will work.