Individual settings for users on a system are stored in a hive (disk file) per user. During user login, the system loads the user hive under the HKEY_USERS key and sets the HKCU (HKEY_CURRENT_USER) symbolic reference to point to the current user. This allows applications to store/retrieve settings for the current user implicitly under the HKCU key.
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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.
Prior to the introduction of registration-free COM, developers were encouraged to add initialization code to in-process and out-of-process binaries to perform the registry configuration required for that object to work. For in-process binaries such as .DLL and .OCX files, the modules typically exported a function called DllInstall() that could be called by installation programs or invoked manually with utilities like Regsvr32.exe; out-of-process binaries typically support the commandline arguments /Regserver and /Unregserver that created or deleted the required registry settings. COM applications that break because of DLL Hell issues can commonly be repaired with RegSvr32.exe or the /RegServer switch without having to re-invoke installation programs.