That's easy!
1. Right clik on you desktop. Select New->Text Document
2. Rename "New Text Document.txt" to "empty.reg"
3. You're done!
You must show the file-extension, otherwise the "empty.reg" will be named "empty.reg.txt", and won't do you any good. To show file-extensions (off by default):
1. Doubleclick on My Computer
2. Select from the menu: Tools -> Folder Options
3. Select the View-flip
4. Unchech "Hide file extensions for known file types"
Ta da!
Let me know if it's not working...