The preference currently is to store settings in app.config, you can access them via My.Settings (
http://msdn.microsoft.com/en-us/library/saa62613(VS.80).aspx). Use per-user settings as much as possible. If you choose to continue using the registry you should not have any issues writing to subkeys of Registry.CurrentUser (HKEY_CURRENT_USER).
Hmm, the debugger should run correctly even when stepping through code on VS 2005 or 2008, must be something else causing your exceptions.
http://richnewman.wordpress.com/2009/06/06/running-visual-studio-as-an-administrator-under-windows-vista/http://msdn.microsoft.com/en-us/vstudio/aa972193.aspx