Well, I'm a little confused, I'm not sure how this happened, but my only guess is that you have copied and renamed the "Siggy - Holiday Special.rgssad" to "To the Moon.rgssad" instead of the exe files and that's why this is happening.
If I remember correctly, Windows hides file extensions by default, so make sure you copy and rename the correct file, and if necessary, modify your Folder Options to show extensions too.
I would suggest uninstalling and reinstalling the game before trying this as there might be some other issues with your installation too.
Edit: If you have got the game from Steam, even changing the exe files might not work.