Sound like you have not specified registration info for your Internet Explorer Entry Point. For the Entry Point of IE add something like this:

FileTypes=.htm.html.shtml.xht.xhtml
Protocols= ftp;http;https
Shortcuts=%Desktop%;%Programs%\Internet Explorer

When running thinreg.exe or installing with the help of MSI will this settings create shortcut on the desktop and in the start menu, register extensions as specified with FileTypes= and register protocols for you..

You must do either thinreg standalone registration or compile a MSI file and run that. Otherwise will registration not happen.

Read more at: http://communities.vmware.com/message/1511296