It's time to update. The software that came with your R4DS may no longer be up to date as the latest R4DS firmware is now at version 1.11 with plenty of fixes and a new version of Moonshell. I had previously mentioned in my "review" of the R4 that I was having problems with the Download and Play feature in Mario Kart DS. With this new firmware update it now works perfectly. Also, don't forget to get the get the new R4DS ROM Trimmer if you trim your roms as it is needed for the full Download and Play support for trimmed roms.
Get all the R4 updated here:
http://r4ds.com/download-en.htm