Oh well, System Restore was worth a try.
The next thing we will try is Turning Off UAC ( User Access Control ) while you rerun the lnk file you downloaded earlier. The UAC is giving you the errors and stopping you from writing the associations to the registry. We will turn it off, rerun the .reg file and turn UAC back on.
To turn off UAC.....
1. Launch MSCONFIG by from the Run menu
2. Click on the Tools tab. Scroll down till you find "Disable UAP" (this should probably change to UAC in next Vista beta builds and in the RTM version). Click on that line
3. Press the Launch button
4. A CMD window will open. When the command is done, you can close the window
5. Close MSCONFIG. You need to reboot the computer for changes to apply
When the PC has rebooted rerun the unzipped .reg file as you did earlier and it should ask you are you sure then then it should Write itself to the registry.
You will need to turn UAC back on by starting MSCONFIG again and selecting the "Enable UAP" line and then clicking on the Launch button. You will need to reboot once again and then try your icons again.
See how this goes for you,