Registry is the databse of windows which stores all configuration information. When you install or uninstall something, this information is saved in registry.
First of all windows xp registry cleaner scans n finds all those files that r corrupted after that it deletes all corrupted n unnecessary files from our pc.
In Windows go Start -> Run -> Type "Regedit" in the run box (leave out the quotation marks). Note: You can seriously damage you operating system by working with the Resgistry Editor.
It depends on where it comes from. Most of them just create more junk and viruses. But if you go with a secured one you will be able to not get anything bad on it.