Just a very strong warning.
Whenever you make ANY registry changes, ALWAYS MAKE SURE TO MAKE A BACKUP COPY FIRST. Mucking about in one's registry can do very serious damage to your whole system, so do so with the greatest care.
You can do a search for a folder that contains whatever part of the application you downloaded, and delete it. This may leave some gunk in your registry, but will be a much safer method.