Hi,
On my side, I used the default Windows Notepad and pasted the key as you did (I think Word or such do not save it as a "true" .txt file thus the extension of the file can't be changed afterwards).
The name of the file does not matter indeed.
When trying to rename as a .reg, make sure Windows asks you to confirm the extension modification. Agree to this and then your file's icon should be the same as the regedit icon (with little blue boxes).
Double click to open this file, Windows will then ask you if you want to add that key to your registry, click yes. It should display a message stating that the key has been added (if my memory serves me well).
Reboot your computer to make sure the speech reco loads correctly.
If all of this fails, could you send the error message displayed?