It can happen if you are on a 64-bit machine. Create a helper class first (requires .NET 4.0 or later):
public class RegistryHelpers
{
    public static RegistryKey GetRegistryKey()
    {
        return GetRegistryKey(null);
    }
    public static RegistryKey GetRegistryKey(string keyPath)
    {
        RegistryKey localMachineRegistry
            = RegistryKey.OpenBaseKey(RegistryHive.LocalMachine,
                                      Environment.Is64BitOperatingSystem
                                          ? RegistryView.Registry64
                                          : RegistryView.Registry32);
        return string.IsNullOrEmpty(keyPath)
            ? localMachineRegistry
            : localMachineRegistry.OpenSubKey(keyPath);
    }
    public static object GetRegistryValue(string keyPath, string keyName)
    {
        RegistryKey registry = GetRegistryKey(keyPath);
        return registry.GetValue(keyName);
    }
}
Usage:
string keyPath = @"SOFTWARE\MyApp\Settings";
string keyName = "MyAppConnectionStringKey";
object connectionString = RegistryHelpers.GetRegistryValue(keyPath, keyName);
Console.WriteLine(connectionString);
Console.ReadLine();