I'm not sure what you're doing wrong. The only things I can recommend is plugging in the little memory card from the r4 sdhc into the computer and deleting everything BUT the games folder. Move the games folder to your desktop with Cut+Paste. Once you've deleted everything from your r4 SDHC folder (Moonshell, etc.), download the newest software for the r4 sdhc from this site:
http://r4sdhc.com/soft/32-en.htm and choose for the download address English Kernel. Once it's downloaded, extract the files from the .zip by right clicking it and selecting extract *to do this you require WinRAR, which is free you and you can download by typing 'WinRAR on google. It depends on the company that made your laptop/computer, it might be already installed.* Copy all of the files into your r4 SDHC memory card and also the games file that I told you to put on your desktop earlier. Now, take the memory card out of your computer, turn on your ds, and voila, it should be working. If not, then it's a problem with the games themselves you've downloaded. Make sure that in any site you visit to download NDS rom games, in the title or somewhere it says US or USA and not K or J or EUR or something like that so that it's in English.
-Hope that little wall of text helped! ;)
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