This forum has quite a few Windows registry issues. It may be possible to avoid storing settings in the registry (thus eliminating the need for the .reg file workaround) without modifying the PuTTY source code. The trick is to donate the modified source code to the developers of PuTTY and have them make it a part of their next release.
They have a wishlist, and one of the items is allowing PuTTY to use a configuration file rather than the Windows registry. The link below has information on how to actually implement that change. They have made several appeals for developers outside of their project to assist them in implementing items on their wishlist. I'll bet that someone here could pull it off.
PuTTY wish config-locations
http://www.chiark.greenend.org.uk/~sgtatham/putty/wishlist/config-locati...
priority: medium: This should be fixed one day.
PuTTY stores its configuration and host keys in the registry under HKEY_CURRENT_USER, because we think that by and large that is the best single location for the job. However, not everybody agrees, and often for good reason. People carrying PuTTY around on a USB key tend to want to store their configuration in a disk file on the same device, so they can take absolutely everything with them from place to place.