It is not easy to explain... and it is a lot of work to do.
My suggestion is try to find samples that already works and start from there. If you can find a project that compile and works, it will be much easier for you.
In the following page you will find a link for DeskBand API SDK Sample:
Windows UI Samples[
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You can find more samples using Google:
deskband sample[
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For the registry stuff, you can look in the registry and you have a good idea how it is organized as many of those keys are used a lot...