When double-clicking madshi.key to merge it into the registry, I get (after the customary warning) an error message: "Cannot import madshi.key. The specified file is not a registry script etc ..."
You need to copy the key file into the same directory where the madCollection installer is located. Then just rerun the installer. That's all you need to do. The installer is looking for a while called "madshi.key" in the directory it's being started from.