... allright, here comes some explanation for "non-experts"...
It's actually quite easy. Open the install.reg in a word editor, e.g. notepad. (you can also right-click -> edit, normally)
Edit the lines that start with "InstallationDir" and "ReferenceDir" to make the values point to the corresponding directories. For example, if you have a german Windows installation, the lines would probably read:
or so. Just place the directory names you used for installation inside the second quote pair on each line; remember to "escape" backslashes with another backslash (C:\dummy becomes C:\\dummy).
If you want, edit the "ShutdownWarning" line. You can for example translate the text into your language. If you leave this empty ("") or delete the line, no message will be shown.
If you do not want to install the bookmark copier part, delete the last two lines. If you do install it, just make sure the entry contains the complete path to wabmcopy.exe (same rules as above).
After you're done, save the file, then double-click it and let windows import it into the registry.
If you already have the settings in the registry and want to edit them, start regedit.exe (or regedt32.exe) and navigate to HKEY_LOCAL_MACHINE\Software\Winamp MultiUser, then change your settings.
Read the Q&A section of the readme to find out what exactly the values (like ShutdownWarning or AdministrativeRun) are for.
Hope this helped...