Yes, you are right.
I was trying to reply to myself, but the forum seemed to be offline!
I found out why there was no association between .mframe files and Vienna Ensemble Pro application: in the regedit, the Shell Command always refers to "Vienna Ensemble Pro x64.exe", even if your system is not 64 bit (so that file was not installed by the setup program). Also the Default Icon key has the same problem.
Correcting those mismatches in the regedit, allowed me to put a simple link to the .mframe file directly into the Startup folder of the Windows Start Menu and everything works like a charm!!!
Thanks for your reply, anyway...