Réponse acceptée !
FreeYoHKEY hKey = NULL;
DWORD dwT=0;
dwT=(DWORD)a;
RegCreateKeyEx(HKEY_LOCAL_MACHINE, _T("Test"), 0, _T(""), 0, KEY_ALL_ACCESS, NULL, &hKey, NULL);
RegSetValueEx( hKey, _T("a"), 0, REG_DWORD, (PBYTE)&dwT, sizeof(DWORD) );
RegCloseKey(hKey);