I love those big dresses she and Celestia came with! That super-stiff fabric is awesome--I am going to look for it at my local craft shops and make my own pony dresses! <3
To put the dress on Luna, it took me a little while to figure out too. Basically you put the 'cup' of the dress over her rump (where her cutie mark is) then the long 'arms' of the dress go along her sides toward her heard and velcro together in front of her chest.
I like the design of the dress, now that I've put it on and took it off a few times. Makes me want to design pony dresses, as I said! ^^