Hey there,
Just in case anyone comes back to this. I moved my installation folder so the context menu was not pointing to the correct path anymore. Using 's knowledge above I found out how to fix that.
How I fixed this
In cmd use the following commands.
*reg export HKCR\Unreal.ProjectFile temp.txt*
It will export a file called temp.txt to your current directory in cmd. Open it up and make sure your paths are correct to your unreal installation. Save it
*reg import temp.txt*
All done 
Cheers,