If you already have an .msi, simply create a .mst using Tuner for the .reg file. If you just want to create a plain simple .msi for the .reg file, create a new project, create a component and import the .reg settings (however only having a .reg setting in a msi file is not something I prefer, but still do-able).
Creating a component and importing the .reg settings is recommended to install the package (including .mst) for HKCU.