Hi Pedro, and welcome to the forum.
If you double click the .reg entry all you will do is restore it to the registry. If you want to get a copy of it's contents, right click it and select "Edit", which will open up the contents as a text file. Just save the text file with any name you choose.
With regards to getting advice on what to delete, that isn't really possible to do with any sort of accuracy because all our computers are different and you may, for example, have reg entries listed for removal which will refer to programs you've uninstalled from your computer, or other things unique to your computer.
The registry can link and tie together a lot of stuff such as common files shared by different programs.
As I say above, we couldn't tell you what to remove and what not to remove with any degree of accuracy.
If you are particularly worried about it, you don't have to use the registry section of CCleaner at all, a lot of people don't, but if you have to, CCleaner is considered a "safe" registry cleaner but always remember to make the backups.
My personal experience is that I've used the reg cleaner since 2006, and I've never been aware of an issue caused by doing so, but like a lot of the other guys on here, I make a backup of my entire registry every day at first boot with "ERUNTgui".
http://www.softpedia.../ERUNTgui.shtml
This keeps a rolling copy of the last 3 days backups, but you can choose how many days to keep in the settings.
Hope that helps.
EDIT: Ninja'd me Andavari.