Well, you don't actually *open* a registry file with Wine. Wine can only run exe files, which in turn do stuff. In this case, you'll want to run Wine's implementation of Regedit and import the key in there. (And it seems that Wine doesn't know that a .reg file opens with Regedit in your case.) Try "regedit file.reg" in a terminal and it should import the registry keys from the file. :)
