Solution 1:

WMI can sometimes be interesting to work with...I think I understand your question, so take a look at the code snippet below and let me know if it's what you're looking for.

// --------------------------------------------------------------------------------------------------------------------- 
// <copyright file="Program.cs" company="">
//   
// </copyright>
// <summary>
//   Defines the WmiChangeEventTester type.
// </summary>
// ---------------------------------------------------------------------------------------------------------------------
namespace WmiExample
{
    using System;
    using System.Management;

    /// <summary>
    /// </summary>
    public class WmiChangeEventTester
    {
        /// <summary>
        /// Initializes a new instance of the <see cref="WmiChangeEventTester"/> class.
        /// </summary>
        public WmiChangeEventTester()
        {
            try
            {
                // Your query goes below; "KeyPath" is the key in the registry that you
                // want to monitor for changes. Make sure you escape the \ character.
                WqlEventQuery query = new WqlEventQuery(
                     "SELECT * FROM RegistryValueChangeEvent WHERE " +
                     "Hive = 'HKEY_LOCAL_MACHINE'" +
                     @"AND KeyPath = 'SOFTWARE\\Microsoft\\.NETFramework' AND ValueName='InstallRoot'");

                ManagementEventWatcher watcher = new ManagementEventWatcher(query);
                Console.WriteLine("Waiting for an event...");

                // Set up the delegate that will handle the change event.
                watcher.EventArrived += new EventArrivedEventHandler(HandleEvent);

                // Start listening for events.
                watcher.Start();

                // Do something while waiting for events. In your application,
                // this would just be continuing business as usual.
                System.Threading.Thread.Sleep(100000000);

                // Stop listening for events.
                watcher.Stop();
            }
            catch (ManagementException managementException)
            {
                Console.WriteLine("An error occurred: " + managementException.Message);
            }
        }

        /// <summary>
        /// </summary>
        /// <param name="sender">
        /// The sender.
        /// </param>
        /// <param name="e">
        /// The e.
        /// </param>
        private void HandleEvent(object sender, EventArrivedEventArgs e)
        {
            Console.WriteLine("Received an event.");
            // RegistryKeyChangeEvent occurs here; do something.
        }

        /// <summary>
        /// </summary>
        public static void Main()
        {
            // Just calls the class above to check for events...
            WmiChangeEventTester receiveEvent = new WmiChangeEventTester();
        }
    }
}

Solution 2:

Are you limited to WMI? If not you can use RegNotifyChangeKeyValue wrappers like RegistryMonitor

Solution 3:

You really don't need WMI, as others have pointed out. I too have used RegistryMonitor with no problems.

If you need an example, there's already example code for the RegistryMonitor on the page itself. Did you scroll down to this bit on the code project:

public class MonitorSample
{
    static void Main() 
    {
        RegistryMonitor monitor = new 
          RegistryMonitor(RegistryHive.CurrentUser, "Environment");
        monitor.RegChanged += new EventHandler(OnRegChanged);
        monitor.Start();

        while(true);

        monitor.Stop();
    }

    private void OnRegChanged(object sender, EventArgs e)
    {
        Console.WriteLine("registry key has changed");
    }
}