If you are trying to make a piece of the Registry from scratch, use Notepad. You need a plain text editor to do this to avoid any formatting characters from word processing programs (like Wordpad) from slipping in.
Next, you have to make sure you don't have any extra spaces or carriage return/line feed characters in the file. One extra character can make the entire import fail.
The best way is to open the Registry on a machine you want to modify and export the Registry piece you want to change.
Then, using Notepad, make the changes to this REG file you exported.
Then, import this modified REG file. That way, you are fairly certain to have the right number of spaces and such.
Lastly, I believe that if you have to use the same file on Win2K AND NT4 machines, you need to build the file to conform to NT4 Registry specifications, i.e. the header of the file is REGEDIT4.
The header of a Win2K REG file is: Windows Registry Editor Version 5.00
That REG file header will NOT work on NT4 machines.
And I agree with the previous answer. Make a backup before you start importing stuff, and be careful!