I think you misunderstand the article (http://support.microsoft.com/kb/970020). That registry entry doesn't exist -- for any of the Office programs -- until you save a document in ODF, check the "don't show this again" box in the warning, and click Yes or No. Then the program creates the entry in the Options hive with the value 1 (meaning "disable the warning").
If you do that, the warning won't appear again, so you can't see the box to uncheck it. The information in the article is about how to change the registry value to 0, so the warning will appear again.
Of course, if you want to prevent the warning from appearing even the first time, you can do that by manually creating the DisableSaveAsLossWarningOpenDocumentText entry in each of the three Options hives (right-click > New > DWORD) and setting its value to 1.