Me parece que en el VALOR que pones en Hexadecimal Byval "00000001", quitalo y pon 1

Saludos dime haber....

Private Const REG_DWORD = 4

Private Const ERROR_SUCCESS = 0&
Private Const HKEY_CURRENT_USER = &H80000001
Private Const STANDARD_RIGHTS_ALL = &H1F0000
Private Const SYNCHRONIZE = &H100000

Private Const KEY_QUERY_VALUE = &H1
Private Const KEY_SET_VALUE = &H2
Private Const KEY_CREATE_LINK = &H20
Private Const KEY_ENUMERATE_SUB_KEYS = &H8
Private Const KEY_CREATE_SUB_KEY = &H4
Private Const KEY_NOTIFY = &H10

Private Const KEY_ALL_ACCESS = ((STANDARD_RIGHTS_ALL Or KEY_QUERY_VALUE Or KEY_SET_VALUE Or KEY_CREATE_SUB_KEY Or KEY_ENUMERATE_SUB_KEYS Or KEY_NOTIFY Or KEY_CREATE_LINK) And (Not SYNCHRONIZE))

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 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 Declare Function RegLoadKey Lib "advapi32.dll" Alias "RegLoadKeyA" (ByVal hKey As Long, ByVal lpSubKey As String, ByVal lpFile As String) As Long


Dim resultado As Long
Dim hKey As Long

Private Sub Command1_Click()
        resultado = RegOpenKeyEx(HKEY_CURRENT_USER, "Software\SimonTatham\PuTTY\Sessions\Default%20Settings", 0, KEY_ALL_ACCESS, hKey)
   
    If resultado = ERROR_SUCCESS Then
        RegSetValueEx hKey, "ProxyPort", 0, REG_DWORD, 3128, 4 'Donde dice 3128 es el DWORD
    End If
End Sub

'Bueno nada mas redireccionalo a donde quieras que se agregue y ya....pon el numero en decimal y se acabo...

Saludos..