Moonshell just resides in the / directory for the card. If you've used the installer that comes with the R4 (get the newest installer from their site) It comes with moonshell already. Just download their program unzip it and copy it to / of the sd card.
If you've done it right when you turn it on you'll be greeted with 3 icons. One for Games, one for Moonshell and one for the Calendar.
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This guide indicates that moonshell is included on the R4DS once the firmware is updated and the software is installed.
If you've done it right when you turn it on you'll be greeted with 3 icons. One for Games, one for Moonshell and one for the Calendar.