The key located by HKLM is actually not stored on disk, but maintained in memory by the system kernel in order to map all the other subkeys. Applications cannot create any additional subkeys. On Windows NT, this key contains four subkeys, "SAM", "SECURITY", "SYSTEM", and "SOFTWARE", that are loaded at boot time within their respective files located in the %SystemRoot%\System32\config folder. A fifth subkey, "HARDWARE", is volatile and is created dynamically, and as such is not stored in a file (it exposes a view of all the currently detected Plug-and-Play devices). On Windows Vista and above, a sixth and seventh subkey, "COMPONENTS" and "BCD", are mapped in memory by the kernel on-demand and loaded from %SystemRoot%\system32\config\COMPONENTS or from boot configuration data, \boot\BCD on the system partition.
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In Windows, use of the registry for storing program data is a matter of developer's discretion. Microsoft provides programming interfaces for storing data in XML files (via MSXML) or database files (via SQL Server Compact) which developers can use instead. Developers are also free to use non-Microsoft alternatives or develop their own proprietary data stores.