You can create it on loading your 1st form :-
objRegKey = Registry.LocalMachine.OpenSubKey("<yourregistrypat h>", True)
objRegKey.SetValue("AppPath", Application.StartupPath)
objRegKey.Close()
OR
you can do this via the registry editor from the setup project :-
right click your setup project click view then select registry. From the left window select where you want the key to go.
From the right window right click -> new -> string value
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