File type registrations are captured automatically by Setup Capture. To apply these setting on a machine you must register the package. Registering can be done using either Thinreg.exe found in the ThinApp Utilities folder or by compiling a MSI file of your project and deploy using this MSI.
Search our blog, http://blogs.vmware.com/thinapp and you'll find a ton of info about MSI and thinreg.