C#

// Change the next line to return the actual path to the .EXE.
// Your original code assumed that the current directory is the one the
// .EXE was launched from.  This is rarely the case!
string path = Application.StartupPath + "\\MyApp.exe";
// Change the next line.  Remove the two backslahes from the end of 'Run'...
RegistryKey App = Registry.LocalMachine.OpenSubKey("HKEY_LOCAL_MACHINE\\SOFTWARE\\Microsoft\\Windows\\CurrentVersion\\Run");
App.SetValue("MyApp", path);

using System.Io;
using Microsoft.Win32;

// Like I said before, DON'T use the Environment.CurrentDirectory.
// There is a large chance that it will not point to the directory
// your .EXE is in!
string path = Path.Combine( Application.StartupPath, "MyApp.exe" );

// Simplify your code a bit.  You don't need to create two variables for this.
// Also, using OpenSubKey with a single string parameter will only open the key
// in Read-Only mode.  You must supply a second parameter set to true, to get
// write access to the subkey.
RegistryKey myKey = Registry.LocalMachine.OpenSubKey( @"SOFTWARE\Microsoft\Windows\CurrentVersion\Run", true );
myKey.SetValue( @"MyApp", path );