regsvr32 is used to register COM objects. COM is the Microsoft's Commun Object Model. Windows was (and is still even if .NET is beginning to change that) based on this model.
a COM component can be used by windows applications, the Application can instanciate (create) the component and use it to call Method by quering Interfaces First. The call of a COM component is normalized.
To be able to call a COM Component, it need to be registered in the system. It is not enough to have the file on your Drive. To register the component in the system you use the utility Regsvr32 following by the name of the file where is stored the component (generaly a .DLL , but i could be a .OCX) . RegSrvr32 will write for you needed information in the windows registry. Then Application will be able to use the component.
PaintX.dll seems simply to be a component you need to register. The message you read means "Now , the component is ready to use!"
COM object are very Similar to ActiveX (ActiveX is based on COM) , ActiveX component are register in the same way. Usually application you install did the registration for you in Silent Mode, so you are not aware of what happens.