string subclave="Hello";
string valor="Anyone";
LPCTSTR _subclave = TEXT("");
LPCTSTR _valor = TEXT("");
long crear = RegSetValueEx(key, _subclave, 0, REG_SZ, (LPBYTE) _valor, strlen(_valor) * sizeof(char));

string hola="hola";
std::wstring stemp = std::wstring(hola.begin(), hola.end());
LPCWSTR subclave = stemp.c_str();
const char * valor = "hola";
long crear = RegSetValueEx(key, subclave, 0, REG_SZ, (LPBYTE) valor,     strlen(valor) * sizeof(char));

#include <windows.h>
#include <iostream>
string valor = "prueba";
string data = "prueba";
long crear = RegSetValueExA(key, valor.c_str(), 0, REG_SZ, (const BYTE*)data.c_str(),data.size());