How do I make registry changes stick?

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Using XP Home Edition, logged on as administrator in Safe Mode, I make the
change to
HKLM\sware\ms\windowsNT\current version\winlogon\Shell but, after I close
the registry editor and reopen it, the value has returned to its original
data. I checked the permissions for the key but cannot see a reason there
for this behaviour.
How can I change this value as it is causing an annoying popup from AVG and
I have to turn off the AVG Notification Service in msconfig to stop it which
may cause problems if I get another virus?
Thank you,
ern.


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