So I also have some issues with Last Moon starting up (or it may just be me..)
I download it, start the setup, and go through the Setup Wizard. Then after, the black box appears and downloads the entire game and so on. I may just be impatient, but it would not simply finish. It had been going for... maybe thirty minutes to an hour, but my internet was running smoothly. I tried reinstalling it real quick and it's actually still going right now...
I don't know. Is it unusual for the downloading to be going on for that long?