Although renaming it to .reg didn't work, I found the cause of the file extension problem. I was using Chrome, which I think tried to have fancy security and didn't complete the file download.
.download is the file extension of stopped or incomplete downloads for Chrome. I used IE and got the correct file.
Then, I completed the steps as described, allowing the file to change the registry and receiving a dialogue box that confirmed it has been entered into the registry... however after a full Shutdown / Boot, the Alt-Tab function is still plaguing me (meaning it's functional :P ).
Any ideas? I don't wanna waste too much of your time, sorry.
Edit: I should add that my Windows install is completely fresh. I don't have any anti-virus or anti-spy programs that could be reverting my registry or preventing the update. All that's on this comp is Windows 7, 2 games and Winrar.