After some tries, I found that that the .reg file should be changed a little.
Then .pdb files gets icon and gets opened by pymol.cmd
C:\Python2X\PyMOL\PDB_file.reg 

REGEDIT4

[-HKEY_CLASSES_ROOT\.pdb]

[HKEY_CLASSES_ROOT\.pdb]
@="PDB.File"
"Content Type"="chemical/x-pdb"

[-HKEY_CLASSES_ROOT\PDB.File]

[HKEY_CLASSES_ROOT\PDB.File]
@="PDB File"

[HKEY_CLASSES_ROOT\PDB.File\DefaultIcon]
@="C:\\Python27\\PyMOL\\PyMOL.exe"

[HKEY_CLASSES_ROOT\PDB.File\Shell]
@=""

[HKEY_CLASSES_ROOT\PDB.File\Shell\open]

[HKEY_CLASSES_ROOT\PDB.File\Shell\open\command]
@="\"C:\\Python27\\PyMOL\\PyMOL.cmd\" %*"

[-HKEY_CLASSES_ROOT\pdb_auto_file]

[HKEY_CLASSES_ROOT\pdb_auto_file]
@="PDB File"

[HKEY_CLASSES_ROOT\pdb_auto_file\DefaultIcon]
@="C:\\Python27\\PyMOL\\PyMOL.exe"

[HKEY_CLASSES_ROOT\pdb_auto_file\Shell]
@=""

[HKEY_CLASSES_ROOT\pdb_auto_file\Shell\open]

[HKEY_CLASSES_ROOT\pdb_auto_file\Shell\open\command]
@="\"C:\\Python27\\PyMOL\\PyMOL.cmd\" %*"


2011/8/24 Troels Emtekær Linnet <tlinnet@gmail.com>
Hi.

I was very happy to find a post how to easy install pymol 1.4 from source on windows.

1) Install python, 2.5, or 2.6 or 2.7 for windows.
2) Download appropriate installer from: http://www.lfd.uci.edu/~gohlke/pythonlibs/#pymol   Select according to your python version.
3) Run it
4) PyMOL is now installed in: C:\Python2X\PyMOL

A) C:\Python2X\PyMOL\PDB_file.reg   should be edited in a text editor, to match your python version. Run it.
B) Pymol is started by clicking C:\Python27\PyMOL\pymol.cmd   which executes python on C:\Python27\PyMOL\pymol-launch.py

Happy pymoling.

Best
Troels