I am supporting a few offices across the country running Windows XP. They are stand alone, no Windows Server or Active Directory, anything like that. I just switched them over t
Looks to me like you have the Registry value name and data swapped. According to the kb article, the REG_SZ value(s) should be named numerically starting with "1", and the included data would be the executable name ("msnmsgr.exe"). Thus, your .REG file should look like this:
Windows Registry Editor Version 5.00
[HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer\DisallowRun]
"1"="msnmsgr.exe"
Also, I would recommend that you use the REG.EXE program for simple edits like this, rather than importing a .REG file. For the change you wanted, your REG.EXE command would look like this:
reg add "HKCU\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer\DisallowRun" /v "1" /t REG_SZ /d "msnmsgr.exe" /f