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
Export the registry key that you manually added and compare the .reg file to the one you imported via regedit.
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