The best way to handle those file types in regards to scripting would be to call the setup.exe file via the Run Script job. When you create the job, you would type in the path to the executable and the executable in the "Run this script" area, or place a BAT or VPS file that calls the executable in the Run the script from file. Do not place EXE or REG files in the Run the script from file area.
To import a .reg file, you can script it this way: reg import file.reg /f