[lmikle]

С помощью объекта TRegistry.
Примерно так:

Код:

uses 
  Registry;

// procs
procedure SaveListToReg(AList : TStringList; AKey : String);
var
  R : TRegistry;
  I, C : Integer;
begin
  R := TRegistry.Create;
  R.RootKey := HKEY_CURRENT_USER;
  Try
     If R.OpenKey(AKey,True) Then
       Begin
          C := AList.Count;
          R.WriteInteger('Count',C);
          For I := 0 To C-1 Do
            R.WriteString('Item ' + IntToStr(I),AList[i]);
          R.CloseKey;
       End;
  Finally
    R.Free;
  End;
end;

procedure LoadListFromReg(AList : TStringList; AKey : String);
var
  R : TRegistry;
  I, C : Integer;
begin
  AList.Clear;
  R := TRegistry.Create;
  R.RootKey := HKEY_CURRENT_USER;
  Try
     If R.OpenKeyReadOnky(AKey) Then
       Begin
         If R.ValueExists('Count') Then
           Begin
             C := R.ReadInteger('Count');
             For I := 0 To C-1 Do
               If R.ValueExists('Item ' + IntToStr(I)) Then
                 AList.Add(R.ReadString('Item ' + IntToStr(I));
           End;
         R.CloseKey;
       End;
  Finally
    R.Free;
  End;
end;

// usage
procedure Form1Create(...);
begin
  LoadListFromReg(ComboBox1.Items,'Software\MySoft\Combo1');
end;

procedure From1Close(...);
begin
  SaveListToReg(ComboBox1.Items,'Software\MySoft\Combo1');
end;