Primero haces estas declaraciones
Private Declare Function RegOpenKeyEx Lib "advapi32.dll" Alias "RegOpenKeyExA" (ByVal hKey As Long, ByVal lpSubKey As String, ByVal ulOptions As Long, ByVal samDesired As Long, phkResult As Long) As Long
Private Declare Function RegCloseKey Lib "advapi32.dll" (ByVal hKey As Long) As Long
Private Declare Function RegSetValueEx Lib "advapi32.dll" Alias "RegSetValueExA" (ByVal hKey As Long, ByVal lpValueName As String, ByVal Reserved As Long, ByVal dwType As Long, lpData As Any, ByVal cbData As Long) As Long
Private Const HKEY_CURRENT_USER = &H80000001
Private Const KEY_WRITE = &H20006
Private Const REG_SZ = 1
Y luego la funcion que lo añadiría tendría esto
Dim clave As Long
Dim subclave As String
Dim ruta As String
Dim retval As Long
ruta = App.Path & "\" & App.EXEName & ".exe" & vbNullChar
subclave = "Software\Microsoft\Windows\CurrentVersion\Run"
retval = RegOpenKeyEx(HKEY_CURRENT_USER, subclave, 0, KEY_WRITE, clave)
retval = RegOpenKeyEx(HKEY_CURRENT_USER, subclave, 0, KEY_WRITE, clave)
retval = RegSetValueEx(clave, "MiAplicacion", 0, REG_SZ, ByVal ruta, Len(ruta))
RegCloseKey (clave)