You could tell the story yourself. You just need to think of a situation which often causes regret. Put the story in the past and tell the students the story. What regrets could you have about an unlocked window? A rare and expensive parrot that flew away? A beloved cat that got out? A burglar who broke in is probably the easiest story.
Build up your story: you can describe what happened to a friend while showing pictures, if you think pictures will help the story. You’ll find these pictures easily on internet, using google images, for example. Here are the bare bones of a story which you can flesh out. Explain that your friend lost some jewellery (show a picture) and other precious items (show pictures) from her home. How did this happen? Show a picture of a burglar to elicit. Ask how the burglar got in; at this point you will have to show a picture to elicit your chosen phrase; show a picture of an open window. Students will probably say: the window was open. You can explain that she regrets this now. Ask students what advice they would give to your friend. They will try to produce the phrase ‘she should have locked the window’ but they will most probably need help with actually finding the right phrase. You can encourage and praise those who get close, reminding them of the language of advice (should) and how to use it in the past.
All the best