Check that again:
Click on Start ans click on Run. Type regedit and click ok.
Double click on Default in right pane and change Value Data for exactly that:
"C:\Program Files\Windows Mail\winmail.exe" /eml:%1
It should be work. If not, make sure Windows Mail is set as default: Open Windows mail, click on Tools, Options and on General Tab, click on Make Default. Also, save an eml file, right click on that, go to "open with" click on "Choose Default Program..." and choose "windows mail", check "Always use the selected program to open this kind of file" and click ok.
Good luck !