I must admit I'm stumped there.
This is a relatively common reg hack, and the changes ought to stick as well.
On checking my own registry I did find the following subkey however:
REGEDIT4
[HKEY_CURRENT_USER\Software\Microsoft\Internet Explorer\Default HTML Editor]
"Description"="Microsoft Word for Windows"
[HKEY_CURRENT_USER\Software\Microsoft\Internet Explorer\Default HTML Editor\shell]
[HKEY_CURRENT_USER\Software\Microsoft\Internet Explorer\Default HTML Editor\shell\edit]
@="&Edit"
[HKEY_CURRENT_USER\Software\Microsoft\Internet Explorer\Default HTML Editor\shell\edit\command]
@="\"C:\\Program Files\\Microsoft Office\\Office\\WINWORD.EXE\" /n"
"command"=hex(7):40,36,2c,21,21,67,78,73,66,28,4e,67,5d,71,46,60,48,7b,4c,73,\
57,4f,52,44,46,69,6c,65,73,3e,6c,6c,54,5d,6a,49,7b,6a,66,28,3d,31,26,4c,5b,\
2d,38,31,2d,5d,20,2f,6e,00,00
[HKEY_CURRENT_USER\Software\Microsoft\Internet Explorer\Default HTML Editor\shell\edit\ddeexec]
@="[REM _DDE_Direct][FileOpen(\"%1\")]"
[HKEY_CURRENT_USER\Software\Microsoft\Internet Explorer\Default HTML Editor\shell\edit\ddeexec\Topic]
@="System"
[HKEY_CURRENT_USER\Software\Microsoft\Internet Explorer\Default HTML Editor\shell\edit\ddeexec\Application]
@="WinWord"
Now I'm running IE 5.5 Sp2, and I don't know about 6.0, but it might be an idea to check the path to your Winword.exefile, correct if necessary, and import this one.
Mosaic1 is around, however, and she may have an idea about what's happening here.