PHM has a number of different versions of the Reg Editor, each targeted at a different platform (PPC 2002 Arm, 2003, Smartphone, HHPC, etc.). The first suggestion would be to make sure you are downloading the correct version. The page where you can find all of the available versions is
HERE
The second observation is that your post implies you are trying to install via your PC and ActiveSync. I believe you will receive a CAB file from the PHM site, which is not installed via your PC. Copy the CAB file directly to your PPC, and then execute the file on the PPC...the install should then occur as expected.
Hope that helps.
:way to go: