めんどくせーからサンプル置いとくよ。↓をテキストにコピペして拡張子をregにしてダブクリな

Windows Registry Editor Version 5.00

[HKEY_CLASSES_ROOT\DesktopBackground\Shell\ControlPanel]
"Icon"=hex(2):69,00,6d,00,61,00,67,00,65,00,72,00,65,00,73,00,2e,00,64,00,6c,\
00,6c,00,2c,00,2d,00,32,00,37,00,00,00
"MUIVerb"=hex(2):43,00,6f,00,6e,00,74,00,72,00,6f,00,6c,00,50,00,61,00,6e,00,\
65,00,6c,00,00,00
"Position"="Bottom"

[HKEY_CLASSES_ROOT\DesktopBackground\Shell\ControlPanel\command]
@="\"C:\\Windows\\System32\\control.exe\""