Roy,
The windows registry is basically a database which stores settings for the operating system. It controls hardware and the OS software. When Windows is installed everything that is Windows pretty much is controlled by what's in the registry. Your desktop settings, the color of your wallpaper, everything. When you install a program if you watch closely, you will generally see "updating Windows registry" as the program installs many, many keys into the registry so that Windows can interact with it. This is why when you uninstall a program, you don't just go to Program Files and the application and delete it. The Add/Remove programs or native uninstaller deletes the programs and the registry keys. The problem is with multiple installs and uninstalls the registry gets "cluttered" with unnecessary files such as .dll files, etc. Eventually, your PC slows down or things start acting weird and you spend the day reformmatting. There are many "registry cleaners" out there, some free, but I find they only put off the inevitable.
You can "tweak" the registry and make changes to how you OS runs. Again, there are tons of programs which interface with the registry and make these changes for you, the most famous probably being Tweak UI which allows you to get rid of the arrows on shortcuts, etc. All of these tweaks could be done manually.
To get to the Windows Registry, simply click on Run on your Start Menu then type in "regedit" without the quotes. Microsoft recommends you back up the registry by clicking on File -> Export. You can also back up folders, keys, etc. Simply clicking on the Rubik's cube-appearing backup on your desktop will restore the backup. Probably the best way to understand the registry is to make a change that you are confident won't harm the computer. One of my favorites which I do after all installs is on "menushowdelay."
Open the registry, go to HKEY_CURRENT_USER, Control Panel, then Desktop. In the windows to the right, you will see the String Value, "Menushowdelay." Double click it or right click it and choose modify and it will open in its own window. The default value data will always be 400. I generally change it to 50, but you can change it to something faster like 10. After entering the new number close it, and your change will take effect. Don't worry, this change is very safe, and you can do it without backing up the registry. Now, when you click on All Programs from the Start Button, it will roar to life much more quickly; 8 times as fast to be exact if you change it to 50, although you don't always get that full effect. If you find it too fast, change it to a higher number. At 50, you will find that hovering over the different shortcuts on the menu will allow the sub menus to pop out to the right almost instantly.
You could also get to "menushowdelay" or any other key or string, but using the Find or Find next.
You are correct in that changing the Windows Registry will only affect that computer you are on.
I would also highly recommend not changing the registry on your server unless you absolutely need to and then not before backing up the registry and possibly doing a full backup of your system. Screwing up a workstation is one thing, breaking the server is another thing altogether.
Finally, Googling Windows Registry is helpful. Hope this helps.
