This answer solved the problem for me.
To clarify this a bit, here's how the meaning under
HKEY_CLASSES_ROOT\Applications\python.exe\shell\open\command
should look in regedit windows tool.

And it should be the same as the meaning under this path:
HKEY_CLASSES_ROOT\Python.File\shell\open\command
Solution tested in the environment: Python 2.7.5 on Windows 7 (home premium) x64.
In fact, I had this problem not with the PHP App Engine, but with the Go App Engine. However, apparently this is not an App Engine, but a Python + Windows problem.
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