Reg2exe

Reg2exe opens reg-files and "creates" a exe file which will, when executed, import all settings whithin this reg-file to the windows registry.

If you don't know Reg-files are, or what the windows registry is, you should better not use reg2exe (yet).

reg-files / REGEDIT:

You can check what you import and easily modify
Smaller size (mostly), can be imported in DOS mode

reg2exe / 'converted' exe-files:

Can't be modified easily
Warnings / messages optional
No need for regedit.exe
Does not create a key when deleting from a key that not exists (not REGEDIT compatible)
'Variables' that will be replaced with certain values when importing (not REGEDIT compatible)
Created executables support full dynamic unicode (on Win9x, strings will be converted when importing!) Converter still uses ANSI file access / IDE

inf-files:

So involves more work then exporting and importing/converting, it has far more features. Additionally you can make selfinstalling executables with IExpress / IEAK.