In 2003 Shoja made the mockumentary Maria de Los Angeles, a reflection on the colonial and exploitive dimension of filmmaking in a foreign land. From 2003 until 2006, Shoja worked on Windows, a collection of nine short films that were both a formalistic experiment with film language as well as a voyeuristic glance into the lives of a people and a culture that have always seemed at a distance. Windows premiered at the Tribeca International Film Festival in 2006, Locarno film festival 2006. Windows have been also exhibited as Video art installations at many museums and galleries.
