The Windows Registry contains a list of all the file associations, specifically the "HKEY_CLASSES_ROOT" section. Deleting the entry will not fix the issue as that makes it not connected to anything. What I think you need to do is set the key(s) back to its original values.
BTW I exported the key for the .MSU key from my Windows 7 Home Premium computer which should still be at the default value. Should be able to plop this into Notepad and save it with a .REG and then run it:
Windows Registry Editor Version 5.00
[HKEY_CLASSES_ROOT\.msu]
@="Microsoft.System.Update.1"
[HKEY_CLASSES_ROOT\Microsoft.System.Update.1]
@="Microsoft Update Standalone Package"
"FriendlyTypeName"=hex(2):40,00,22,00,25,00,73,00,79,00,73,00,74,00,65,00,6d,\
00,72,00,6f,00,6f,00,74,00,25,00,5c,00,73,00,79,00,73,00,74,00,65,00,6d,00,\
33,00,32,00,5c,00,77,00,75,00,73,00,61,00,2e,00,65,00,78,00,65,00,22,00,2c,\
00,2d,00,31,00,30,00,32,00,00,00
[HKEY_CLASSES_ROOT\Microsoft.System.Update.1\CurVer]
@="Microsoft.System.Update.1"
[HKEY_CLASSES_ROOT\Microsoft.System.Update.1\DefaultIcon]
@=hex(2):22,00,25,00,73,00,79,00,73,00,74,00,65,00,6d,00,72,00,6f,00,6f,00,74,\
00,25,00,5c,00,73,00,79,00,73,00,74,00,65,00,6d,00,33,00,32,00,5c,00,77,00,\
75,00,73,00,61,00,2e,00,65,00,78,00,65,00,22,00,2c,00,2d,00,31,00,30,00,31,\
00,00,00
[HKEY_CLASSES_ROOT\Microsoft.System.Update.1\shell]
[HKEY_CLASSES_ROOT\Microsoft.System.Update.1\shell\open]
[HKEY_CLASSES_ROOT\Microsoft.System.Update.1\shell\open\command]
@=hex(2):22,00,25,00,73,00,79,00,73,00,74,00,65,00,6d,00,72,00,6f,00,6f,00,74,\
00,25,00,5c,00,73,00,79,00,73,00,74,00,65,00,6d,00,33,00,32,00,5c,00,77,00,\
75,00,73,00,61,00,2e,00,65,00,78,00,65,00,22,00,20,00,22,00,25,00,31,00,22,\
00,20,00,25,00,32,00,20,00,25,00,33,00,20,00,25,00,34,00,20,00,25,00,35,00,\
20,00,25,00,36,00,20,00,25,00,37,00,20,00,25,00,38,00,20,00,25,00,39,00,00,\
00