Save following text in a file with .reg extension:
Windows Registry Editor Version 5.00 [HKEY_LOCAL_MACHINE\SOFTWARE\Clients\Mail\XEmacs Gnus] @="XEmacs Gnus" [HKEY_LOCAL_MACHINE\SOFTWARE\Clients\Mail\XEmacs Gnus\DefaultIcon] @="c:\\Program Files\\XEmacs\\XEmacs-21.5-b28\\i586-pc-win32\\gnuclientw.exe,0" [HKEY_LOCAL_MACHINE\SOFTWARE\Clients\Mail\XEmacs Gnus\Protocols] [HKEY_LOCAL_MACHINE\SOFTWARE\Clients\Mail\XEmacs Gnus\Protocols\mailto] "URL Protocol"="" [HKEY_LOCAL_MACHINE\SOFTWARE\Clients\Mail\XEmacs Gnus\Protocols\mailto\DefaultIcon] @="c:\\Program Files\\XEmacs\\XEmacs-21.5-b28\\i586-pc-win32\\gnuclientw.exe,0" [HKEY_LOCAL_MACHINE\SOFTWARE\Clients\Mail\XEmacs Gnus\Protocols\mailto\Shell] [HKEY_LOCAL_MACHINE\SOFTWARE\Clients\Mail\XEmacs Gnus\Protocols\mailto\Shell\Open] [HKEY_LOCAL_MACHINE\SOFTWARE\Clients\Mail\XEmacs Gnus\Protocols\mailto\Shell\Open\Command] @="c:\\Program Files\\XEmacs\\XEmacs-21.5-b28\\i586-pc-win32\\gnuclientw.exe -F -w -e \"(and (gnus) (gnus-url-mailto \\\"%1\\\"))\"" [HKEY_LOCAL_MACHINE\SOFTWARE\Clients\Mail\XEmacs Gnus\Shell] [HKEY_LOCAL_MACHINE\SOFTWARE\Clients\Mail\XEmacs Gnus\Shell\Open] [HKEY_LOCAL_MACHINE\SOFTWARE\Clients\Mail\XEmacs Gnus\Shell\Open\Command] @="c:\\Program Files\\XEmacs\\XEmacs-21.5-b28\\i586-pc-win32\\gnuclientw.exe -F -w -e \"(and (gnus) (gnus-url-mailto \\\"%1\\\"))\""