Altering the shell executable registry entry isn't the best way to automatically launch an application when windows starts, unless ofcourse you don't want the explorer interface (start menu, system tray, etc) to load. If you still want explorer running when your computer boots up do this instead:
1) Open regedit
2) Goto the key HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\Curr entVersion\Run
3) Create a new string value in this key, name it something that you'll be able to easily recognize, most likely the name of the program you're using as your front end, ie. "Frodoplayer"
4) Edit that new string value and put in the full path of the front end executable. Quotes are required if the path contains spaces, ie. "C:\Program Files". Quotes are NOT required for long file names.
Alternatively, I believe you can just add the path to the program after "explorer.exe" in the shell string value at HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows NT\CurrentVersion\Winlogon. So the data for the Shell value would be 'explorer.exe "C:\Program Files\Frodoplayer\Frodoplayer.exe"', without the single quotes ofcourse. This will load both explorer and Frodoplayer when the shell loads (not 100% sure about this).
If you want to autologon to windows and don't want to use TweakUI (program for n00bs says I :P) then you can do this all in the registry as well:
1) Open regedit
2) Goto the key HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows NT\CurrentVersion\Winlogon
3) Edit or create the string value AutoAdminLogon with the data 1 or 0. 1 enables autologon, 0 disables it.
4) Edit or create the string value ForceAutoLogon with the data 1 or 0. 1 enables forcing autologon, 0 disables it.
5) Edit or create the string value DefaultUserName with the data <username>, where <username> is your windows username.
6) Edit or create the string value DefaultPassword with the data <password>, where <password> is the password to the windows username you specified. If your password is blank, then leave this blank as well.
If you want to totally disable autologon, just change AutoAdminLogon to 0. As stated in the posting above, to bypass autologon on a single boot, hold down the shift key while windows is starting up.