Registry Editor is a set of configurations of the Windows operating systems as said in the previous answer. Whenever you install an application in the Windows OS, some values are stored in the registry. The values include details like registration information, settings of the application, etc.
You can enable advanced options in Windows using the Windows Registry like hiding a drive, changing the text in start menu (in Windows XP), displaying a message on startup, hiding a user account and a lot more other cool stuff.
To start Windows Registry go to Run and type in regedit. You can set up new values as well in the appropriate location in the Windows Registry. Some changes need the computer to be restarted.
I just want to caution that if you are a beginner, it can be dangerous if any important key or value in the registry is changed. So, before working with the Registry Editor, research about the specific value.