I have some program settings that are currently stored in HKEY_LOCAL_MACHINE. Due to Vista and locked down users, some users don\'t have permission to HKEY_LOCAL_MACHINE, an
Might be some good place in the registry to put them I don't know about, but why not just add an ini-file in C:\Documents and Settings\All Users\Application Data\yourApp
What @uli said, with one exception.
Settings that never change or should only be changed by an administrator can --should, even-- be kept in the same folder as the application to help prevent tampering.
Connection info for a database sounds like the kind of thing that shouldn't be changed without administrator intervention. Therefore in this case your application's folder might be okay.
Can you make a .msi file that can be used to push the registry settings out through group policy?
There's always old fashioned INI files. They are more portable that registry settings. Another option would be an XML file.
Don't store them in the Program Files directory though - Vista won't like that.