A few people have asked about this, so I figured I'd make a thread for easy reference.
Step 1: Open notepad.
Stop 2: Copy and paste the following into notepad.
Windows Registry Editor Version 5.00
[HKEY_CURRENT_USER\Software\Digital Paint\Paintball2]
"INSTDIR"="E:\\Projects\\Paintball2"
[HKEY_CLASSES_ROOT\paintball2]
"URL Protocol"=""
[HKEY_CLASSES_ROOT\paintball2\DefaultIcon]
@="E:\\Projects\\Paintball2\\paintball2.exe"
[HKEY_CLASSES_ROOT\paintball2\Shell]
[HKEY_CLASSES_ROOT\paintball2\Shell\open]
[HKEY_CLASSES_ROOT\paintball2\Shell\open\command]
@="\"E:\\Projects\\Paintball2\\paintball2.exe\" +parse_url %1"
Step 3: Replace "E:\\Projects\\Paintball2" with the path to the Paintball2 directory you want to use with the server browser, etc. (Note that you need double slashes as slash is an escape character).
Step 4: File|Save As "pb2installdir.reg" (with quotes, so it won't add the .txt extension).
Step 5: Double click on pb2installdir.reg wherever you saved it.