Hi Sharif, MoI's AI export is only focused on exporting curves to the AI file, not on making a shaded result.

Normally for a shaded result you would want to import your file into a rendering program and set up light sources and produce a rendering, which will then be a bitmap image file that can be read into Illustrator.

If you want to do something quick you can make a screenshot of the MoI screen to save to a bitmap file. It is possible to set up a script on a shortcut key that will generate an image of the current view at a higher resolution than the regular display and put it on to the clipboard so you can paste it into wherever you need, see this post for some details:
http://moi3d.com/forum/index.php?webtag=MOI&msg=1049.5

- Michael