The MMP/MMD isn't exactly the best choice for homebrew, no. However, many applications can run with some tweaking.
What have you tried so far with Moonshell? I would suggest deleting anything Moonshell-related on your card and downloading the latest version (1.7 or 1.71 I think) from the official website. Run the setup.exe program with your CF card inserted into your computer. Deselect all of the various devices except for the MMD. The other options you can change, like making sure English is specified as the default language and selecting a clock style if you wish to use one. Then let it run. It should copy the necessary files over to your CF card.
Run the MMD and launch Moonshell's .nds file. It should run then.
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