Basicaly:
If the Package is installed under ALLUSERS then the regkey would be written to HKLM
if the Package is installed only per user then the key would be written to HKCU.
If you have a locked down environment and have to install from an administrator but your application needs individual users registry entries here is a good example
http://www.appdeploy.com/packages/detail.asp?id=162check out the 4th paragraph talking about "Make a component called "CurrentUser" ... "