I am presuming you are looking to store the location, and connection string into a central location. If i was going to use the registry I would set my installation program to create the registry keys with the paths to database, userid e.t.c and then have my application check the registry for these keys.
To add a registry key/value during install - select your setup project, on the menubar choose View --> Editor --> registry this will allow you to set keys to be created when your application is installed.