This will show you how to make your R4's second icon on the menu boot any .nds you want.
Step 1: Renaming
This is really simple to do. Delete the " _DS_MSHL.nds " file.
Copy and paste the .nds file you want to be booted, and rename to "_DS_MSHL.nds".
For mine, I used Licks Media Player (iPod clone).