If you ever accidentally double-clicked on a .reg file, you know that it merged the contents into your registry. To prevent this in the future, open explorer (My Computer) and select Options from the View menu. On the File Types tab, scroll to Registration Entries and select it. Click the Edit button. In the Actions list, select Edit and press the Set Default button.

These actions change the default behavior so that doubled clicking a .reg file will open it in notepad. If you want to merge it with the registry, right click and select Merge from the menu.