Its not really intended for people who dont know what they are doing but when you open Regedit theres a list on the left side of the different locations.
You navigate through them by expanding each part and looking for the subsection in that part then another subsection and so on.
Just keep clicking on the + sign at each entry and work your way down the list until you arrive at the last step suggested.
So the first part you open is HKEY_CLASSES_ROOT
Expand that and look for Directory, its a long way down the page but as Dually says its aplahabetically listed so you should find it ok
Expand that and look for shell
When you reach that and click on it you will see something in the right hand window that says Default.
Right click on it and select Modify and then type none and click ok, thats if it doesnt already say none.
Then close the window and see if its fixed it.
I hope thats a little clearer for you