Well, in case anyone is working with legacy code and happens to be cornered into using Microsoft Moles, I've done extensive digging on this topic and hope to save some from the anger and frustration I encountered.
I tried using the accepted answer's suggestion, which meant going to the Moles directory (in C:\Program Files..) and running the command line utility (moles.exe) as Administrator. There a lot of options, one of which allows you to include referenced assemblies (as suggested above).
However, even when trying to run the utility without referenced assemblies, the utility ultimately calls the C# compiler (csc.exe) with pre-defined referenced assembly paths, which is where I conclude that the confusion between .NET Framework versions occurs. I couldn't get it not to include these assembly paths.
My specific scenario was that I was trying to Mole a custom assembly, however because, apparently, I had .NET 4.5 installed on this machine, it was complaining upon compilation about System.Collections.Generics IReadOnlyCollection, IReadOnlyDictionary, and I think one other.
Solution: The only solution I got to work was to use Mole filters, which I read about on other posts and on the Microsoft Moles website (there is a special link for .NET 4.5 troubleshooting on the main page). In Visual Studio, I simply added the Moles assembly to my unit test project for my referenced custom assembly via right click in Solution Explorer. I then tried to build. For each error I received, I noted the offending classes and excluded them from being Shimmed or Stubbed by adding the following to the moles file:
<Moles xmlns="http://schemas.microsoft.com/moles/2010/">
<Assembly Name = "MyCustomAssembly" />
<StubGeneration>
<Types>
<Remove TypeName="ClassThatUsesIReadOnlyCollectionEtc" />
</Types>
</StubGeneration>
<MoleGeneration>
<Types>
<Remove TypeName="ClassThatUsesIReadOnlyCollectionEtc" />
</Types>
</MoleGeneration>
</Moles>
Now clearly that's not going to work if you need the classes that you're excluding from mole/stub generation, however for my case it worked fine because the offending classes were not important and I wouldn't be needing to Stub or Shim anything in those classes.