You're nearly there.
In Windows, if there are no file types listed under either EML or Outlook Express Mail Message, then you'll have to create it. This isn't as daunting as it sounds.
To do this, go to the File Types tab as mentioned in the article you looked at. When the list loads, click the Add button to add a new type. In the box that appears, type EML and click Ok.
Your new entry appears in the Registered File Types list, but is not yet finished. Find it in the the list (it's alphabetical by extension) and click Advanced.
You can give it a suitable icon by using Change Icon, then click New to give it an action to perform when you open it as an attachment.
Under Action, type "Open", then under Application Used To Perform Action, type what appears in step 6 of the article you were reading, which states the line
"C:\Program Files\Outlook Express\MSIMN.EXE" /eml:%1
Please note, you may need to alter the path name if Outlook Express is installed elsewhere.
Keep clicking on Ok until you get back to the main folder window again, and you'll find everything is well again.
Though for safety, restart your computer or at least log out and back in to give Windows the chance to save what you just did.