Run nxenginve-evo (Cave Story) on your GameShell!
Just copy the contents of the games folder to your GameShell's games folder (in other words, merge the two games folders). Then place the CaveStoryEvo folder somewhere in your launcher. I put mine right in the base at /home/cpi/apps/Menu/. Running CaveStoryEvo from the launcher should copy all needed files from the original Cave Story that comes preinstalled.
Enjoy!