Process Monitor

Try:

http://technet.microsoft.com/en-us/sysinternals/bb896645

Note the statement:

"The best way to become familiar with Process Monitor's features is to read through the help file and then visit each of its menu items and options on a live system."

Best of luck

Process Monitor is not like RegShot, RegShot takes a snapshot of the registry before and after doing something, and shows you what has changed, but Process Monitor actively monitors the processes on your system to see what they are doing, and makes a list of what they do as they do it.
What I do when I use Process Monitor, is simply to open it up, and tell it to highlight any changes that are of interest to me (writing, adding, or deleting stuff), and tell it to exclude all the processes that are already running (one by one unfortunately), then I run what I want to check and use it (exclusively) for a little while, and go over what it did after I've closed the app.
How you use it is up to you, and I fully recommend opening it up and playing with it for a while if you really want to learn how to use it (as mjashby said).