Won't happen. The registry can't do anything. The most you could hope for is to call a program/script via the Run keys that would create the directory itself.
The start menu is a directory tree in the file system. The directory to be used as the start menu is specified in the registry, but the directory itself is not created/described by the registry.
Josh
Yet another site soon to be neglected:<font color=green>
<a target="_blank" href=http://www.zachmax.com>www.zachmax.com</a></font color=green>