Are you launching Moonshell via the middle button in the startup screen? If so, try launching it from the game menu (you'll have to press select to make it show the hidden files).
Edit: So it works when you launch it from the file menu, but not when you launch it from the middle button?
Edit 2: Try deleting _DS_MENU.DAT and _DS_MENU.SYS and copying the .DAT file to the card again. I had something similar happen with the 3in1 ExpPack Tool (which I have set to the middle button), and that fixed it.