More than likely, the registry key that you're trying to get rid of is calling an exe file. May need to work backwards here: Use a program like "Killbox" or similar to delete that file. When the file is not available for loading, the next time the computer boots, the registry entry won't be protected, due to being in use. You will than be able to delete it.

Stirring around in the registry is always an enterprise that is fraught with peril. Tread carefully, and good luck.