I have some program settings that are currently stored in HKEY_LOCAL_MACHINE. Due to Vista and locked down users, some users don\'t have permission to HKEY_LOCAL_MACHINE, an
What @uli said, with one exception.
Settings that never change or should only be changed by an administrator can --should, even-- be kept in the same folder as the application to help prevent tampering.
Connection info for a database sounds like the kind of thing that shouldn't be changed without administrator intervention. Therefore in this case your application's folder might be okay.