Ferdinand,
I am not sure why you would want to write your config to HKCU. In the past programmers did this or used .ini files, but with the advent of .Net, most programmers are using .xml files as Application Configuration Files which are app specific and not user specific. Microsoft is encouraging the use of .xml config files.
I have found no difficulty browsing to and connection to the SQL database via the .xml file. I am not really sure what the advantage would be in changing that.
