It sounds as if there is a bit of confusion on what you want to achieve because all of the above suggestions should lead you to the goal you mentioned?
To add your registry entry, you may want to do as Alex or Dimitri suggested. For simplicity reasons, I suggest you use a reference machine to create and then export the settings from the registry into a .REG file.
Once done, you can copy the <Whateverfilename>.REG to the client and import it using the command line syntax Dimitri mentioned (regedit.exe /s "%~dp0regfile.reg" where %~dp0 refers to the current working directory and regfile.reg to the previously exportred registry file).
If you're firm with using the REG command, youcan also create any registry keys and the value itself using an embedded script. Example below.
Assuming that the last level for the registry value you'd like to add doesn't exist, the commands would look like this:
REG ADD "HKLM\SOFTWARE\Microsoft\Windows\CurrentVersion\Authentication\LogonUI\Background"
REG ADD "HKLM\SOFTWARE\Microsoft\Windows\CurrentVersion\Authentication\LogonUI\Background" /v "OEMBackground" /t REG_DWORD /d 1 /f
/v specifies the registry value you want to add
/t specifies the type of data it will contain
/d is the data being set against the value you add or change
/f enforces the information to be written