Unfortunately you will continue to be a victim of the Moscow militia solely based on the fact that you stand out from the crowd. One thing I quickly learned there is no matter how hard it is not to - do NOT attempt to help anyone the police have set their eyes upon. And, if I were you, I'd avoid the metro after peak hours. Avoid the Arbat, and the open markets on the outskirts. Try not to travel alone.
I haven't had any problems with the Moscow militia, but I can blend in. This may sound offense, but it's just being frank - you will attract them. There are diplomats, with diplomatic immunity, from Africa who are harrassed by the police all the time.
If you haven't yet, go to the Shamrock Bar on Wednesday evening (btwn 1900 and 2100). The bar is on the second floor of the "Irish House" (where Sbarros is) on the New Arbat You can meet Westerners and Africans there. They can clue you in on a lot of the "do's and dont's" of life in Russia for a foreigner.
One more tiny piece of advise - register with your Embassy so they know how to locate you.
Again, thanks for the advice. Will try to pop along some time.